A couple in Alberta, Canada have built what appears to be a very nice little dome sauna with earthbags. They say that they have only spent about $125 (mostly on bag material), with the rest of the materials either dug from their property or gleaned from dumps, etc. The bags were first covered with a layer of cob, then finished with an earthen plaster.
One thing that is different than most earthbag projects that I have seen, is that they used a clear plastic tubing material, instead of the usual woven polypropylene. My guess is that this was 6 mil polyethylene, which is not breathable. I wonder if the damp sand/clay mix inside the tubing will ever dry out. They say that the compacted material is about as hard as concrete, so in this little sauna, it may not matter. With all of the steam created inside, ordinary bags would allow the fill to become moist anyway. They built a rocket stove to heat the space, so I’m sure it gets plenty hot in there.
You can read more about how they built this at earthbagbuilding.com.
Earthbag Building Blog 
Love the sauna, never seen one of those before;)
I don’t know if you know anything about FIR saunas, but do you think they could be built using earthbags – besides the heaters, etc. I’ve seen them built with cedar wood and carbon ceramic heaters. Do you think the wood part could be replaced with the earthbags?
Yes, but mold will probably grow on cement plaster and I’m not sure how lime plaster would hold up in a sauna. Consider wood cladding on the earthbags. (Recent blog post.)