The sauna girls will be happy with you either way, as long as you shower when you arrive at the sauna. Remember, Hong Kong is a very hot place in the summer time, so they are absolutely used to seeing people hot and sweaty when they walk through the door.
But really I think you should set your own standards. If you would be more comfortable arriving pre-showered, then by all means do so. But it should be because *you* think it is important. The girls won't care as long as you clean yourself once you arrive at the sauna.
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