Depends on what you are trying to get the room to sound like...
First question: what is there now? If bare concrete, pad and carpet may be just what you need...or just paint the concrete...lots of options
Second question: how versitile do you need the room to be? Decide if your room will be a one-trick-pony, or will it be used for several different things? If you need options, then perhaps some temporary structure can be laid (seen reports of great sounding rooms with concrete floor...engineer build an 8X10 semi-floating floor that he lays down for certain things, fold up for others)
Third question: what's you budget?
Our tracking room is a refurbished carriage house (circa 1920) with a cobblestone floor...with wood walls and carefully applied treatments, the room sounds great (so the clients say...)
And as far as the 'sauna' look...hanging tapestries and such can offset that look...