You should do it. It is a lot of fun and you get to see the girls in a different light (daylight after stumbling out of the bars/clubs upon closing). Wgs/sauna girls, etc are like any other girls. They just want to get out and have fun with friends too. When dressed in normal clothes, they are quite presentable and not cheap looking at all.
Sure, you will have to pay for the drinks, taxi, and meals (usually late-night snacks), but you have to do that too with civi girls. Unlike civi girls, these girls are very out-going and fun otherwise how could they have survived in their jobs. Plus I get to really get down and dirty and do some serious grinding and making out on the dance floor which has the effect of attracting all the other girls to come party with us. These girls are the ultimate wingmen!
Of course you have to be careful of how the friendship evolves as these girls also aspire to lead normal lives too. They are looking for serious bfs/hubbies.
I remembering (chuckling to myself of the irony) when one sauna girl told me that a guy offered her money to drink with him and she refused the money offer because she is 'not' that type of girl. lol, she was in her civi girl mode.
Just do it.