I'm planning to purchase a portable indoor infrared sauna to be located outdoors under my deck. Although ambient temperatures in the SF Bay Area are fairly mild, I am concerned that it might take quite awhile for the sauna to reach an optimum temperature of 130 deg F while using it during the winter months without adding some type of insulation. I've considered wrapping the exterior walls of the sauna with mylar space blankets and the roof with styrofoam or fiberglass insulation. Since the deck above the sauna is watertight, there is no concern of moisture coming in contact with the roof insulation. Would appreciate any feedback as to whether mylar would provide adequate insulation!
Mylar reflects infra-red radiation. Most of your heat loss will be through good old-fashioned conduction (and convection), against which the Mylar does almost nothing. No, it's not worth it.
Use a bit of foam or polyisocyanurate sheathing instead, if you like.