Since many of you probably aren't familiar with the subtleties of Finnish sauna, we thought a little explanation might be in order. They are very unlike the saunas you might see in American TV series, and there are many cultural things that you can only find in Finnish saunas.
So how hot are these things, anyway? Depending on personal preference, and on the type of sauna, the temperature will generally be somewhere between 60-120 degrees Celsius, or 140-250 Fahrenheit. A "smoke sauna," the kind Katri is supposed to have, would be on the higher end of the scale. With the exception of mixed public saunas, you go to the sauna naked. And I mean naked; while I wasn't eager to see Katri’s grandpa's private parts, that towel he's holding is completely, totally out of place.
In the 1910s, a sauna stove (or "kiuas" in Finnish) with a chimney was still relatively uncommon; the traditional "smoke sauna," where the smoke was let out through a small hole near the ceiling, was slowly being replaced by a type where a metal hood was put over the stove to catch the smoke. In those types of saunas, you would go in only after the fire had gone out and the smoke cleared. As far as I know, the type where the fire is kept going while someone's bathing was not yet in use. And even after they were, they had metal chimneys and smaller stoves... More importantly though, no matter what they show in this episode, breathing wood smoke is seriously dangerous to your health; continuing to bathe in a sauna that's filling up with smoke is about as stupid as falling asleep on the top bench. And speaking of benches, they are usually set along one or more walls. While I can't say it's impossible, I have never seen them set up like they are here.
That bunch of twigs grandpa beats himself with is called "vihta" or "vasta" (dialect variation). It's made of birch twigs, traditionally tied together with another twig. Doing that without breaking the twig requires some skill and patience, which might be the reason Katri used string... Usually the vihta is softened up before use by soaking it in hot water, and possibly quickly putting it on the kiuas. But rather than "how?" most of you are probably wondering "why?" I suspect that no matter what I say, the idea of taking a bunch of twigs and whipping yourself with it is going to sound sick and perverted to many. There is a notion that it is somehow healthy and "good for you," but beyond that, the explanations tend to get a bit vague. If you ever get the chance to try it, though, go for it. I know this will be hard to swallow, but it actually feels rather good :)
Traditionally, saunas weren't used only for bathing; apparently there are practical uses for a room that can be heated to ridiculously high temperatures even during the coldest of winter (think smoked ham, etc). In the original book, there are references to the sauna being somehow involved in the process of turning flax into linen. I have absolutely no idea of the specifics this, but in episode 2 there's a scene where Katri's grandma is making thread from (presumably) flax fibre, which would be the next step in the process of making your clothes from scratch.
tl:dr Finnish sauna good, Japanese Finnish sauna not good.