Why anyone wears a hat in a sauna
Heat rises. In a Finnish sauna the air at head height runs far hotter than the air at the bench, which is why the first thing that gets uncomfortable is almost always your scalp and ears — not your body.
Wool is the reason this works. It insulates in both directions, so the hat holds the worst of that heat off your head and you stay in longer, more comfortably, without cutting the session short.
It also spares your hair. Dry, repeated high heat is hard on it, and a wool hat is the simplest thing between the two. In Finland this isn’t a novelty — it’s just what you bring, the same way you bring a towel.