I might note here as a Finn that this prudishness concerning the naked human body seems very American.
You're not allowed to go to a public sauna in your swimming wear here. And if you're a dad and have a small daughter, you're obviously going to have her in the men's changing room. And when I was a kid, I was in the women's changing room with my mom.
Even at parties it's not uncommon to have a mixed-gender sauna where everyone is naked. I'd say most commonly it's women wearing a towel and men wearing nothing, or if it's in a sauna near a beach/lake then people will have their swimwear on most times.
Still, just being naked isn't considered sexual in any way. You can even see the non-sexual nature for about 50% of the people who are naked. (Vis-a-vis their lack of visible arousal.)