Healthy sauna use is based on phases, where the only important thing is their order. You best enter the sauna with dry skin after taking a shower, so that the heat can act directly on the skin.
The body should rest in the sauna. Exercises would only strain the circulation and bother other sauna guests. The indicated time limit for the bath should be observed. Eight to ten minutes per cycle are sufficient - the body won't befefit further with additional time.