Agreed, but my comment was more in reference with dress watches that have 3 or 5 ATM WR, in a spa. I would not do it personally, wrong or right. A G-Shock is design to survive extremes, so I understand you're wearing yours. I would too. My 100m+ wr watches go everywhere, the others, I'm more careful with extreme temperature.
It's true that we might be paranoid with our watches sometimes, but I'm not afraid of getting my watches wet (even in very hot water) when they have the proper WR. Like others said, if I can survive, the watch can too. I understand that it might be a bit OT though, since the thread was about Saunas, and not spas.