Yep - sedimentary rocks are the worst, as these are most likely to have pockets of gas/water trapped in them, which is what causes rocks to explode when they are heated. Also make sure you don't pick rocks from rivers/wet places, as in these cases water may have found its way into the middle of the rock, and can't get out again as quickly when you heat it! :yikes:
In terms of building the actual lodge, although its nice to favour traditional materials, a large piece of plastic tarpaulin is one of the best things to use
Try and find a natural shape that means you can get away with minimal building work (up against a bank/in a hollow etc). Dig some kind of pit in the middle of this area, and bank up the walls well. This will be your fire hole. You now have two choices - either build your fire in here, fill with rocks etc, leave til the fire dies down and the rocks are hot, and build your lodge round it, or build the fire outside the lodge, and bring the rocks in. The latter tends to be easier and safer, since you don't end up with a lodge full of smoke, or melting the tarp while trying to cover the pit! So, anyway, either way, cover the lodge area with the plastic tarp. Don't be tempted to make it too spacious, as this just ends up meaning you need more heat/steam for a proper sweating! Make sure you leave an entrance somewhere, and try and make this in a tunnel/hollow, so that you move up into the lodge, this stops the steam/heat escaping if your door seal isn't very effective. Also make sure that the door points out of the wind, and then build your fire near to, but not too close to the entrance (this stops cold air blowing into the lodge, stops smoke blowing into the lodge, and means that the air around the entrance is slightly warmer).
Next, try and cover the tarp with as much insulation as possible - branches, leaves, snow - whatever is to hand. The more insulation you have, the less effort you need. Now, also make sure you have a lot of water on hand for the steam - buckets/hosepipe etc, and try and get these right next to the door, or inside the lodge. Practice getting in andout of the lodge easily/without wasting lots of steam.
Right, now you've heated your rocks well in the fire - carry them into the lodge and carefully place them in the pit (use a metal bucket/tongs/something secure - remember these are very hot!) Now get everyone who is using the lodge to get in and sit around and get comfy - a safe distance from the pit. Now, as doorman, you get to grab buckets of water, and pour it slowly over the rocks - using a mug or small bowl is best. If you do it too fast you just cool the rocks too quickly, and the water doesn't turn to steam and just soaks away. Sit back and enjoy, adding more water when necessary!
The last one I built and used in exactly the above way - on a frosty night on a beach in Scotland (using a dune as a windbreak and lodge wall) in mid-March! The lodge was fantastic - we used wet sand over the tarp as insulation so it looked like an igloo, and we all really enjoyed the sweat (there were about 12 of us in it! The running into the sea afterwards was mind-boggling! :rolmao:
Let us know how you get on!