Replying to WKL, I've been to one of the hot springs before and it's open air. Pretty nice and relaxing, however they didn't have any saunas or massage places in the area. It was pretty much in the middle of nowhere... I went to one of the travel agencies to book one of those bus tours from Hong Kong and went with family.
However, after the hot springs, the bus took us to the hotel at a nearby city... it was a Marriott hotel (although a 'fake' Mariott not an official one on any of the Marriott websites... haha gotta love it). There was a sauna in the same building that features all the girls wearing pretty sexy uniforms... all mini-skirts.
Definitely got a happy ending there, and I'm sure you could get more as there was a 'secret' backdoor exit from the sauna directly to the elevator going directly to your rooms. ;)
If you happen to be in the area, you can probably find the place directly. Here's their website:
http://www.marriottholidayhotel.com/
It's a few hours north of the border though.
In Shenzhen near the border I've been to various saunas that vary greatly from the nice pampering but straight places to dumpy looking joints with scary looking ladies... However, there were a few that feature all the extras we've come to enjoy. I think half the fun is exploring and trying them all out though.
Of course maybe some day we can get a group together to go... and then of course we can come back and write reviews and share with the rest of the forum.