I've been here for about the last 40 years and am loaded with information

The nightlife here is too diverse to really go into in detail, but, in general, if you stay relatively sober and use common sense you won't run into many problems. There are places (like the Zona Rosa/Centro) where you can find trouble as gay tourist, because that's where all the gay tourists go and there are plenty of people looking to rip you off...one way or the other. Same rules that apply to other big cities apply here.
The bar in the Zona Rosa that is almost a required stop for visiting foreigners is El Taller on Florencia. You can find it on any gay site or map. La Estacion around the corner from El Taller on Hamburgo is a leather bar that scares the h/$& out of me, but you may like it. Another bar in the same vein, but much more upscale, would be Tom's Leather Bar on Insurgentes Sur. Nice place. Even if you don't like leather.
BOX is another nearby (by cab) bar, much higher end and open only on weekends, and is known as the place where "beautiful" Mexicans go. FYI: Your definition of beautiful may vary, but let's say the prevailing definition is more European looking than man-in-the-street Mexican looking. Cocoa Bar at the Hotel W is also a mixed hot spot, with plenty of "beautiful" people, as is Euro, Feira Cafe, and Gendarmeria de Don Quintin, all three in Polanco on Mazaryk. And keep in mind that the hot guy you see with the beautiful babe at Euro you will most likely run into at BOX later on. It's way too complicated to explain here.
As far as other bars go, my suggestions would be to stick to the bars in the Condesa rather than the Zona Rosa. They are far less touristed and much safer. Some are gay and some aren't, but as a single foreigner, you'll meet plenty of gay people everywhere in this neighborhood. Walk down Tamulipas (try Pata Negra bar to start, not gay but plenty of guys there) and Michoacan (and the obviously busy side streets) at night and stop at one of the bars or cafes that look appealing. If nothing does, try Libido on Amsterdam, as well as Cafeina and Cinnabar (neither exclusively gay) on Nuevo Leon. Be sure to pick up a free map called HOT MAP at one of the stops. And feel free to ask people you meet what they recommend. A good people-watching cafe in the Condesa is Cafe de la Selva across from the market on Michoacan just off Tamulipas.
If you like the working class Mexican kinda guy, you'll find them in the Centro Historico, and one of my favorite bars in there (El Viena on Cuba) is a typical cantina that I have gone to off and on for close to 20 years. I have taken plenty of non-gay friends here and many haven't figured out it is gay until I tell them. If you are looking for pretty boys, this isn't the place. Next door is another similar gay cantina. These two places are best on weekends. And then there is the Pervert Lounge on Uruguay, which is mixed. I hesitate to recommend the Centro at night to anyone who doesn't speak very good Spanish and has a feel for the city, because it is the place where the most trouble is likely, especially when leaving at night. A tip: the street taxis that are PARKED outside of Viena at night, are safe. They won't turn on the meter, you will pay an arm and a leg, but they have an arrangement with the bar, and you will get home safely. Another tip when visiting the Centro at night: No matter how hot he/she is, no matter how drunk you are, if they don't speak excellent idiomatic English and you can communicate perfectly, it probably isn't worth the risk. If you do risk it, take them back to your hotel. Do not go "home" with them.
Saunas: Not an expert, sorry, but for working class guys (we have no real upscale gay saunas that I have heard of) Banos Mina (on Mina, off Reforma near Parque Alemeda) comes highly recommended. For "slightly" more upscale guys, Banos Finisterra on Manual Maria Contreras in San Rafael neighborhood is another option. In both places, ask for "Vapor General" when checking in.
Hope this helps. It should be a good start. Just don't limit yourself to exclusively gay places and give the Condesa neighborhood a try. You'll meet more people and probably have more fun that way.