My New Zealand husband has had some culture shocks when it comes to nudity in Sweden… His first experience was at a “kallbadhus”, a bathing house for cold swimming. Although it was separated between men and women, he had never been swimming - or let alone sitting in the sauna - naked, together with other naked men.
But being nude in the sauna is not a big deal in Sweden, in fact, it is the norm. You can be completely naked in the sauna if you want to, but it is also okay to sit with a towel wrapped around you if you do not feel comfortable being naked around other people.
But I must say, going to a kallbadhus in Sweden and sitting naked in a sauna with other women is such a freeing and, dare I say awesome, experience. It is a place for people to be themselves, and for us Swedes who usually spend so much time worrying about what others think of us, somehow that all disappears when we get into a sauna.