I think that in Finland it actually might be more common to separate by gender (for example families tend to go to sauna together until the children hit puberty), co-ed saunas might be a more studenty thing to do. Though they aren't rare and are completely normal, I think that usually and especially with older people it's gender separated. A common scenario has an extended family or friends staying at a summer cottage. You would start heating the sauna in the afternoon (the be really authentic you need a wood stove), then the women would go there, with children if there are any. After that the men (they get more heat and get to stay longer) and the women will start making dinner (the traditional scenario isn't very equal, men would probably chop the wood and heat the sauna). Quick googling confirms that some people do it (mostly people who have studied certain subjects, for example engineers like to do it, and people with groups of very old friends, like my bf, who actually is also an engineer), some do it when they're drunk, some are extremely against it (they don't want their husbands to see naked women, for example. I think that as my bf has been doing saunas with these people for years it wouldn't do any good even if I was against it, he knows what they look like naked already), some are somewhere in between. I think that saunas in Finland are still mainly seen as a family thing and as a way to get clean (nothing makes you feel cleaner). And almost all public saunas are separated.
I haven't actually ever been to a co-ed sauna, at least as an adult. There have been other opportunities, like when I was at a camp when I was 15, but I was too shy then (my friends went and told that a 17 year old camp councillor liked being naked in the same room with girls a bit too much). They did sauna nights at my college, I don't know if they were co-ed as I knew that they incolved a lot of alcohol and I wasn't interested. And I don't really do summer cottages so I usually go to sauna with just my mother (my apartment doesn't have a sauna so I go when I'm there).