Yes, saunas are very effective at removing metals/mercury via the pores of your skin. Andy Cutler mentions it in his book. It is equivalent apparently to chelation, depending how long and how often you do it. I would not overdo it though, you could make matters worse by releasing too much of the stuff at once.

Be careful of chlorella and cilantro, they can stir mercury up wildly in some people and not be sufficiently grabbed hold of and eliminated. Some people do well, others do not. I did well on Cutler's protocol. The safest and most effective I have ever tried. Most other stuff for me lead to a nightmare of exacerbated symptoms that were enough to almost have me sent to the loony bin (until the reaction died down again).

I remember once I took chlorella and was ill for months afterwards because it released or stirred up far too much mercury for my body to handle. Sometimes the backfire effects and recovery from such can be worse than the actual condition.

Be very careful.

Good things to do too are a healthy diet excluding sugars/wheat/gluten/yeast, appropriate supplements (particularly antioxidants), enough proteins and healthy fats/oils. Moderate exercise (e.g. rebounding and/or walking). I used a treadmill and found it most effective for helping me release more metals and gain more health. I sweated quite well then, so I was lucky. I used to put it on an incline as I built up more strength and more and more metals/toxins came out of me over time.