Learn Finnish: Toki me menemme saunaan! - Certainly we are going to the sauna!

Yes, absolutely! Saying Tokihan me menemme saunaan! is very natural. Adding -han to toki softens it slightly and makes it feel more conversational, like saying "But of course we are going to the sauna!" It emphasizes a shared understanding between you and the listener.

What is the difference between toki and tietysti if they both mean "of course"?

While both work here, they have slightly different flavors. Tietysti comes from the verb tietää (to know) and implies that something is a known fact or logically obvious. Toki is often used to give enthusiastic reassurance or to politely concede a point. In this sentence, toki gives an upbeat, reassuring "Certainly!"

Why is the word saunaan used instead of saunassa?

Saunaan is in the illative case, which shows movement into a place. The verb mennä (to go) requires a destination case because you are moving toward or into it. If you used the inessive case saunassa (in the sauna), it would mean the action is happening while you are already physically inside the sauna.

Could I leave out the pronoun me and just say Toki menemme saunaan?