Heads of South Australian University not always in the steam room (5)
I believe the answer is:
'the steam room' is the definition.
(sauna is a kind of steam room)
'heads of south australian university not always' is the wordplay.
'heads of' says to take the initial letters.
The first letters of 'south australian university not always' is 'SAUNA'.
'in' is the link.
(Other definitions for sauna that I've seen before include "Where one is sweaty", "Steam-bath", "Very hot cleansing room from Finland", "Finnish steam bath", "Sweat room".)