On average, 3 to 4 times a week is a good strategy. Each session should be around 30-45 min.
Every person is different, though, so listen to your body. Many manufacturers recommend that you begin with short 10-20 minute sessions at lower heat. This acclimates you to the idea, helps you get familiar with the effects, and see if you are ready for more.
In our own testing, we found some people just blew through straight to 45 minutes on the first session with no problem. Others preferred to take it slower, and that’s a great way to do it too.
One major key to success is staying on top of your hydration. You’ll need to consume 2-3 more glasses of water a day to keep yourself well hydrated, if you are also doing a sauna session. Not really hard to accomplish, and tastes great too.