Hmm... well that depends. After a workout I'd recommend at least a quick shower or a dip first, then hitting the sauna.
If, however, you're after some rest and relaxation, then I would say it's a matter of choice. A dry sauna can be a little harsh, making you feel prickly and stingy all over, but some prefer it that way, maybe taking a little douse of water to cool themselves down. A wet sauna is, in my opinion, better for a relaxing sauna as the water makes the heat disperse more evenly, and small douses of cold water poured on your head feel just about heavenly if you're getting dry again. It's a matter of opinion and taste in my mind.
I would, however, still recommend either dousing or taking a dip between sessions, so as to avoid any heat-related issues. Alcohol I would recommend for post-sauna, not in-sauna, as it tends to make you dehydrate faster.