What would you wear in the sauna?

A wrapped towel, nothing at all, some clothing?

I was at the sauna in the gym, and I go naked (I’m Russian, so this is pretty normal for me). A girl walked in wearing her gym clothes (i.e. sports bra, shirt, shorts, shoes, socks… the whole deal). I thought it was a bit odd, but perhaps she thought I was odd because I had laid my towel out and wasn’t covering myself with it.