Protection is guaranteed. Every room has a box on the wall packed with condoms and another next to it with lube. Every time I have had sex in the sauna, the first thing everyone has done is reach for them, unless I went for them first. Never had any protests.
And yeah, its discreet, you arrive, pay, get a towel and locker key. Once you are changed out of your clothes (you can wear shorts, but no one does under their towel) you are free to explore and have fun alone or with someone/some people. No pressure to do anything, no means no. Don’t be afraid to be upfront and ask. If you see a cock you really want to suck, ask. If you want that cock in you, ask.