Well, the Swedish and Finnish old etiquette is - naked with a towel around you.
There is a saying: your parents met in a sauna. You were concived in a sauna, you spent your best times in one and when you die your corpse will be lied out ( awaiting funeral) in a sauna.
Fear not, separate saunas seems to be the norm these days.
If the sauna is mixed, remember, you either stare at the walls, or into the eyes.
Never scratch your family jewels, do not offer to use the birch twigs on somebody unknown.
Never pour vodka on the hot stones unless everybody agrees.
Do not eat beans before.
It is good to have wide vision!
I have never worn a rucksack while downhill skiing.
Too much risk hurting the spine.
You can buy good food in the supermarket, I would not bring any. Try Norwegian brands!