The 'vihta' is kept in water. Before you flick yourself with it, you place it briefly on the hot stones to create more steam and heat up the leaves.
The possible painful part is that the swish of the vihta creates a waft of very hot air in it's wake. That hot air never reaches you, but it can reach a neighbour. Sauna etiquette thus demands that you take this into account. You can't be me, I'm taken
Neither is nudity threatening. As I said the sauna should be dim. Running to the lake is a different matter. Rarely are saunas unisex, except in families. But often men and women in a group take turns in the sauna, and relax outside when it is not their turn. This means the trip to the lake is visible to the relaxers. Men tend to run naked to the lake. Women tend to take a towel which they discard at the jetty. When men return from the cold lake after a swim, there's very little to see ;-)
It's all done in the very best of taste ;-) You can't be me, I'm taken
No, I love it. You don't need to educate me on it. I was just wondering if the Finns did that too. "Pretending that you already know the answer when you don't is not actually very helpful." ~Migeru.