Where should you pay attention ? Scandinavian countries (Denmark, Norway, Sweden, etc.), Turkey
What’s different from our culture?: Don't keep your clothes on when you enter a sauna or a steam room in countries which are mentioned above. Why? Because of the fact that in these countries, these places are considered as locations where sanitation and hygiene play a very important role and the outside world (e.g. shorts or bathing suits) should be left behind the doors.
How should you act instead? : Sitting on a folded towel is considered acceptable. If you’re too modest to appear naked, strip down, but wrap yourself in a towel.