It's from the vinaya in the Khuddakavatthukkhandhaka.
https://suttacentral.net/pli-tv-kd15/en/brahmali
It's a really long page, if your browser can do a search for the word "sauna" on the page you'll find it easily. It's about halfway down.
It's from the vinaya in the Khuddakavatthukkhandhaka.