Is it best to have a swedish massage before or after a sauna?

The heat of the sauna would help to soften the muscle tissues allowing a deeper massage with less pain to tense areas, so I would advise having a massage after a sauna.
It is worth remembering that saunas encourage sweating and hence a loss of body fluid. A massage would further add to this and so it would be important to stay well hydrated before, during and after the sauna and massage to prevent dehydration. I would also advise clients to keep warm after, since the body would be inclined to cool after both treatments.