The place under the breakfree near to the golden tree in Chinatown had a dry sauna if you need a warm-up.
There are quite a few brothels that have jacuzzis if that's your thing - 42, Roseville rose, 81 zig zag, Chatswood 60. You might want to call ahead because I'm pretty sure most of the girls have NFI how to operate it.
I think Midas also has a spa service if you cop their top offering.