I've been fantasizing about a steamroom for a long time and I think it would get used, say once a week, so I'm with you DIYHomeDesign. It's not like I'm going to get around to it soon but I do like the idea. I do doubt it's 100% DIY esp. if you need to upgrade electrical much. But in some ways it's not that different from a wet bathroom. Except there have to be expansion joints where tile walls meet etc. and of course it needs a vapor barrier, not just a water barrier. And a sloping ceiling and a pricey door. Laticrete has a serious steamroom design guide online, doesn't seem like that's an easy way though. I've heard of easier ways to do it with Shlutter Kerdi.
BTW I have heard it's true it adds nothing to resale value so only makes sense if you're planning on sticking around, but I relate to that, we're probably not going anywhere.
Also of course there are steam modules that look totally DIY-able to install, but most of them aren't long enough to lie down, and the bigger ones are kinda antiseptic fiberglass looking. But you should look at them to see if they do it for you.