Any sauna can be used dry, however not all saunas can be used for steam or wet sauna. Consult the installation manual of your sauna heater manufacturer to be sure the heater is designed to have water poured on. Some sauna enthusiasts prefer the dry heat sauna, which feels cooler as a result of the lower level of humidity. In the dry sauna, a standard sauna heater with rocks is used but no water is sprinkled on the hot rocks for steam.
Many commercial facilities with a traditional sauna restrict users from putting water on the sauna heater, simply for less maintenance in the sauna room. Also to protect inexperienced people from pouring chlorinated pool water on the rocks and breathing irritating vapors. Sauna heaters and sauna woods will last longer when no water is used to produce steam as in traditional Finnish steam saunas.
Dry Saunas can be made with any of the popular sauna woods, Western Red Cedar, white Aspen, White Cedar or other species. Dry sauna construction is the same as a traditional sauna, with foil vapor barrier behind the T&G paneling, etc.
However you enjoy taking a sauna, either dry or with some water on the rocks for steam, it is the right way.