Apple

here’s the support documentation for acceptable operating temperatures. Additionally in the handling information it mentions that use in high temperatures can degrade the water resistance.

Personally, I take mine off when I go into the steam room or sauna as it would be uncomfortable to wear when it’s that hot, but I also see people wear theirs in and/or bring in their entire phone. (Typically I leave my phone outside and just wear headphones in if I want to listen to a podcast/music). I think the amount of time you spend in there probably also affects your preference, sometimes people just come in the sauna for 10-15min which is likely less affecting than a 45min session.