Myhill's site's got a nice section on them, including approved companies to buy the sit-in or blanket versions from: http://www.drmyhill.co.uk/article.cfm?id=368
A little expensive. I actually picked mine up on ebay - sent over from China - for about 90. (Mine's a sit-in though.)
Yeah, I think it's probably played a large part in my progress. It's hard to know exactly how much because obviously they can leave you a little wiped out - whether it's just a little exhausting or whether it's mobilizing toxins.
Probably the best way to detox things like mercury and PCBs, and it also speeds the metabolism up and helps you fight viruses by inducing a temperature. Interesting Japanese study where daily FIR saunas and post-sauna warming cured two CFS patients completely in a relatively short space of time.
One thing I'd advise is making sure you've got your mineral levels up. MyHill's Magic Minerals formula is perfect to take after a sauna, as you lose minerals as well as toxins in sweat. (I think saunas, early on, could've been making my magnesium deficiency worse. So I laid off them for a while and focused more on transdermal magnesium and oral supplements until I felt my levels were okay - which I judged by seeing how I reacted to transdermal magnesium, and noticing general stress and hyperventilation symptoms.)
I'd certainly recommend them.