Phrase (idiomatic): to throw water on the sauna’s stones to make steam and increase the heat in the sauna. (Literally, ”throw steam.”)
Heittää is a verb means ”to throw” or ”to cast.” (You will also often see heittää palloa, which means ”to throw the ball.”)
Löyly means the steam in a sauna generated by throwing water on the stones. It appears here as löylyä, in the partitive singular. Löyly can also mean ”heat,” ”pressure,” or ”intensity.”
Kiuas is the sauna stove itself.
Laude is the sitting platform in the sauna. You will often see the compound noun laudeliina, which is a cloth often sat upon in sauna.