Sauna heater wiring from 3 prong to 4 prong
Connect the neutral to the plug if using 8/3 cord. Put a wirenut (and tape - this is one place where taping a wirenut is reasonable) on the unused wire at the heater end of the cord.

IMHO it's also perfectly reasonable to use an 8/2 cord and leave the neutral prong disconnected, since the appliance does not need neutral, but if you are using 8/3, connect it to the plug.