An hour of erotic massage in Málaga will cost about as much as an hour with an escort. That usually includes a happy ending via manual relief. Most of the sensual massage studios in Málaga offer in-house spa facilities as well.
Many massage studios in Malaga have own spa and sauna facilities
So playing out that sauna fantasy should definitely be possible. Centro Milenium (https://centromilenium.com/) at C. Don Cristian 3 and Masajes Eroticos y Tantricos (https://masajeseroticoslasuitemalaga.com/) at Pje. Noblejas 2 are good picks for a decent masaje erotico in Málaga. Tantra Corporal (https://tantracorporalcenter.com/) at Pl. de la Merced 19 also has that comfy oriental vibe. Sadly, there aren’t any old-school Asian spots around.