According to my dad:
"You got it exactly right. And we got the pronunciation from the Skarbakka family (Finlanders across the street on Missouri Ave who had their very own SOW (rhymes with cow) na)."
I'm not saying the SAW-na people are wrong. I'm just sayin', it seems like anyone named Skarbakka is probably right.
Also, I have a craptacular - or rather, mucustacular - cold. And however you prounounce it, a sauna sounds pretty awesome right now.