A membership card is required for all saunas in Italy, usually the Arcigay UNO CLUB card. If you don't have one yet, you can usually acquire it at the entrance. (For foreigners 8 € for 3 months. When you acquire the card you need to show your photo ID card; after that you only need the membership card.)
Via Mecenate 59a
Via Aureliana 40
[Metro: Repubblica]
Via dei Colli Albani 10
[Metro A: Colli Albani]
Via Pasquale Villari 3
[Metro A: Manzoni]
Via Persio 4