Advice on Building a Cheap At-Home Sauna with Heat Bulbs (OT)

Hello, This is slightly off-topic since I don't actually plan to actually build a sauna out of wood but here it goes anyway.
I'm thinking about trying to build a sauna in my home for relaxation. Looking around the Web has revealed several different types of kits you can buy to build an actual stand-alone sauna. However, the simplest method I have found involves just buying some red heat bulbs and activating them in a small room such a closet or bathroom. However, I am not entirely sure how safe this would be and was hoping I could get some of your opinions. Here are the directions in a nutshell:
Materials: --Four 250 watt red heat bulbs (commonly found in hardware stores). --Apiece of 1/2" plywood, 40" high and 15" wide. --Four flush-mount bulb sockets. --Fifteen feet of heavy lamp cord. --A medium-heavy duty male wall plug. --8 wood screws to fasten the sockets to the plywood. --Small bathroom or closet at least 4' long, 3' wide and 6' high
Directions: 1) Mount the sockets on the plywood in a diamond shape. The bottom socket is in the center, 1' from the bottom of the plywood. Two sockets are 28" from the bottom of the plywood and 10" apart. The top socket is centered on the plywood and 3' from the bottom. This should form a narrow diamond shape. Large sockets sold as fixtures can only be wired from the back. Drilling the holes will be more work. You may find smaller flush mount sockets that can be wired from the front. Wire the sockets together in parallel so one bad bulb won't disable the unit.
2) Lean the unit against a bathroom or closet wall. Secure it so it won't fall over. Plug it in to operate. The enclosure needs be small enough to hold the heat, and large enough to turn around.
And that's it. The author also recommends installing an optional thermometer and an on/off switch. If a suitably sized enclosure is not available, he also recommends building one out of wood, glass, or (seriously) cardboard refrigerator boxes. I would probably just use my bathroom since its the proper size and contains no flammable objects except perhaps my plastic shower curtain.
FYI, here's a link to the original article:
http://www.mercola.com/2002/aug/14/sauna.htm
Seems like a fairly simply way to enjoy a sauna without joining a health club. But I also don't want to burn down my house. Opinions?
Thanks for your help, --Swann
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The instructions that I am considering (linked in my previous post) are actually for a conventional sauna using normal heat bulbs rather than infrared bults. When I saw the term "bulbs," I also initially thought that the author was describing how to build an infrared sauna. However, that's not the case. He believes that one can construct a conventional sauna safely with heat bulbs. That said, does placing heating up my bathroom with four heat bulbs actually sound safe? My intuition is that it would probably be too dangerous, but, then again, it would really be a fantastic alternative to building one with rocks or joining a health club.
I will note that the instructions for the bulbs mention that they are suitable for "body warming" purposes, but I am sure they did not intend for people to use them as a heat source for saunas!
--Swann
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