Learn German: Wir gehen in die Sauna, um den Alltag zu vergessen. - We go to the sauna in order to forget everyday life.

The phrase um ... zu means "in order to". Just like the brauchen ... zu structures you are currently learning, the word zu is placed right before the infinitive verb, which gets pushed to the very end of the clause. Literally, the second half of the sentence translates to "in order the everyday life to forget".

Why is it in die Sauna instead of in der Sauna?

in is a two-way preposition. Because the verb gehen shows movement toward a destination, we must use the accusative case (die Sauna). If you were already hanging out inside the sauna, you would use the dative case (in der Sauna) to show a fixed location.

Why is der Alltag changed to den Alltag here?

The word Alltag (everyday life or daily routine) is a masculine noun. In this sentence, it is the direct object of the verb vergessen because it is the thing being forgotten. Therefore, it takes the accusative case, which changes the masculine "the" from der to den.

Does there always have to be a comma before um?

Yes! In German, an infinitive clause that expresses a purpose or goal using um ... zu must always be separated from the main sentence by a comma.