Hi.  I have been recently diagnosed with type 2 diabetes and I also have an in home Sauna.  Diabetics are slow healers and the sauna always boosts my immune system and helps me heal much faster and keeps me well.  Ever since I got my sauna I have not suffered infections or colds. Plus a sauna will take out some of the toxins in your cells that could be contributing to your condition.

 Also I am more relaxed after my saunas and since stress raises blood sugar levels a sauna in the longer hull of the day will help lower and equal my levels out for me.

As far as immediate blood sugar levels This government website states the fact that Saunas do help speed up insulin absorbtion. 

http://www.betterhealth.vic.gov.au/bhcv2/bhcarticles.nsf/pages/Diabetes_and_insulinnot 

So yes the sauna can have an effect on your blood sugar levels but it depends on the time you take your sauna, when you have eaten last when you took your medicine last, what type of medicine you took and