CoEd saunas and steam rooms are the norm in Germany and several other European countries. At my Club in Berlin we usually tolerate prudish visitors who insist on wearing their swimsuits in the sauna or steam room, but occasionally a more curmudgeonly member will gruffly inform the visitors to lose the swimsuit for hygienic reasons. That being said, towels in the steam room are allowed.
Always keep in mind - we're all naked beneath our clothes!
safe travels...