Most of gay saunas have a gym room (you will need then to wear adequate clothes ; working out half bare is too dangerous for certain fragile parts of the body :-), nevertheless, to work seriously, only few saunas are well equipped.
When going in, you are given a towel and the key of a locker. There are not, like in Canada for example, any 24 hours sauna, nor private rooms to rent for some hours. You will only find "cubicles of relaxation" instead, where you are free to relax the way you wish. That's because having sex is not an issue there. Nevertheless, do not forget that, although the problems became rare, it is still technically illegal to have sex in front of everybody.
Sunday afternoon is one most appreciated moments by Parisians for the sauna. That is the day where saunas are the most crowded.
Condoms and lube are freely provided everywhere.
Palais Royal - Louvre - Tuileries
Grands Boulevards - Opéra
Gares de l'Est - du Nord
Extérieur de Paris
You can do your own guide with your favorites venues.