Sauna Deco at 115 Herengracht is mixed-gender but absolutely gorgeous. The interior fixtures, furniture, staircases, etc. used to be a 1920s Bon Marche department store in Paris. It has been completely reassembled as a day spa, and it is an Art Deco lover's wet dream. A great place to warm up on a dreary Dutch Winter day!
http://www.saunadeco.nl/engels/index2.html
Click on "prizes" to see prices.