The Bains des Paquis has a fantastic sauna/hamam/turkish bath complex, with the added advantage of being able to go directly from 90 degree sauna into Lac Leman if you so wish (around 4 degrees at its coldest in December & January - I chickened out...), and they also have a great and inexpensive cafe/buvette, plus fondue in the winter, and the whole complex is out in the lake, with views of Geneva. Thoroughly recommended!

On topic, clothing is optional - no rules either way, but you must have 2 towels for hygiene reasons (you can hire them there if you want for an extra charge).

Bains des Paquis website