Hairy bloke in middle of the sauna (4)
I believe the answer is:
esau
'hairy bloke' is the definition.
(hairy son of Isaac in the Bible)
'middle of the sauna' is the wordplay.
'middle of' says the answer is hidden in the clue (the answer is somewhere in the middle of the clue).
'ESAU' can be found hidden inside 'the sauna'.
'in' acts as a link.
(Other definitions for esau that I've seen before include "Biblical character who sold birthright for pottage" , "wronged brother" , "Biblical twin to Jacob" , "Biblical hunter" , "Biblical brother to Jacob" .)