Biblical character in the sauna (4)
I believe the answer is:
esau
'biblical character' is the definition.
(I've seen this before)
'in the sauna' is the wordplay.
'in' indicates a hidden word.
'ESAU' is hidden within 'the sauna'.
(Other definitions for esau that I've seen before include "Biblical man who sold his birthright for a mess of pottage" , "Son of Isaac and Rebecca" , "Jacob's brother (OT)" , "character in the Bible" , "Hairy OT character" .)