I live in Lauttasaari, where the sea is always near. I swim in the sea all year round.
In Lauttasaari, there are many former berth places or piers from where you can go down in the water. I always use a certain pier which is free of charge. There are also piers you can use for a fee – these places guarantee that there is always a hole in the ice in case the sea freezes completely.
You don’t need a sauna to bathe in the sea. I always bicycle to the shore and come back after swimming. In winter I just don’t wet my hair.
In my opinion the closeness of the sea is all in all the greatest thing in Helsinki.