Information for Sauna Boy at The Prince of Wales Cabaret Venue, Inner London (Play). Dan works at the south coast's most successful and infamous gay sauna. A place where men come to relax, socialise and most importantly... Fuck.There are many stories to discover: the good, the bad and the downright lubricated. But as Dan learns the secrets of this hidden world and connects with its diverse patrons, he begins to realise that sex at the sauna is not always as simple as it seems.