I guess by HKG spa you are referring to walk-up HE massage parlours. In my opinion, saunas are theme-parks: big, clean, organised and well-equipped, but industrial, standardised and artificial. Walk-up massage joints are like private kitchens. Many of them are amateurish or simply rubbish so it takes some luck to find the gem. It is impossible to compare them with saunas in terms of scale and facilities but you can find a certain level of intimacy in some of those places. There are numerous reports on both saunas and walk-up massage joints in the Sauna section. They give you a general idea of how these two types of places feel like.
Two very minor (and personal) points: As I said above, saunas are like theme parks. If you are seen walking into or out of Disneyland, people will immediately assume you like Frozen or Star Wars. Same goes for saunas. If your friends or SO see you walking out of one, it will be very difficult to talk your way out. Some walk-up places (like Kama), however, have no sign at all. Not even a door sign. You are seen walking into an unmarked building. You close the front gate and people can't even follow you in. Some spas (like Daily Spa) are in a big commercial building so you can be going to a restaurant or hair salon. Your security is guaranteed. Of course, it depends on which massage parlour you choose to go to. Some have flashy LED signs outside. They are worse than Saunas.
Two, most saunas offer free food but in my own experience the food there are invariably bad. If you like instant noodle you will enjoy it but unless you are not a sodium junkie, avoid the food. | |