If you're thinking about bringing your girls to a sauna with proper facilities and
expect to get a massage with them in the same room - forget it, its illegal in HK !
At best, some saunas offer (not all saunas cater to women) segregated facilities and massage rooms.
If you want to take them to one of the smaller foot massage places that offers massage on the side
(I say this because most of these places are only licensed to do foot massage and facials) then you will
all be together.
Expect costs to be around $150 - $250 per session (45 mins) in a proper sauna and one is expected to tip.
Costs for massages at these foot massage places are around $100 - 180 per session.
If you go across the border to Lowu, there are 2 veggie massage saunas (full facilities) in the building
right after you leave immigration. There you can be in the same room for the massage.
Costs there are around RMB 60 - 90 for 2 sessions (120 mins).
Hope this info is helpful .