Well there may be something to the theory of sweating out the toxins and opening your pores up. Just be sure to drink a ton of water to replace what you are sweating out.
I'm with Tiger here. The only thing that gives you wind is using wind......run your ass off. Make sure it's at least 30min & your heart rate is above 130 for fat loss.....above 160 for wind. The Sauna? Fucking use it. Cleans your system out....gets rid of toxins, sweating is good for you. I also use it in the winter just before working out to warm my body up before pumping iron.....though this technique does not mean you don't have to warm up with light weights......the only way to get fluids moving....like Synovial Fluid to prepare the muscles & tendons for work is light work.