The sauna will make you sweat out water that is sitting subcutaneously, yes. But, it should only be temporary. I use the sauna as a way to relax and realy loosen up my muscles when they are sore.
I think people get a little worked up when it comes to water retention. This IS necessary for further strength and mass gains while on cycle in most cases. It's not good for your body to be below a certain BF% for a prolonged period of time. It's kinda the same when you think about water retention. Nothing is better at sucking the water out of you then winstrol. But, this is also why it makes your joints/ligaments hurt.
So overall, technically you do lose some water through sweat, but this should not be relied on as a way to get rid of subQ water.
I use the sauna after cardio on occasion to pull some subcutaneous water, but only for about 10-12 minutes at a time. As lymbo said, asparagus and other dietary factors can also help pull water. I'm usually not overly concerned about it unless I need to send in my weight loss goals to NN. Then I fret a little more.