The normal means of doing iths is not to use concrete, but a sand mix (5:1 sand to portland cement). This is sort of like wet beach sand, the cement holds it together. Then a liner, then another layer, and then your tile or other finished layer. Tile is not waterproof, and moisture will migrate underneath. This can rot your stud walls, and give grief. A sauna is sort of like a steam shower, and waterproofing all over is critical to keeping mold from destroying things.
I may be missing something. Check out www.johnbridge.com for tiling help on your sauna.