Multi wire circuit or 2 separate 120V 20A dedicated circuits?
Multi-wire branch circuits (MWBCs) must be on a 2-pole breaker, never ever a twin!  Measure between the two hots, that must always read 240V.  If it reads 0V, you are overloading the neutral.  

What you want to do is easy enough, though.   Run yourself an 8/3 or 6/3 cable.  In the service panel, land it on a 20A 2-pole breaker. 

At the other end, bring it into a large box such as a 4-11/16 square deep box at the location where you would want that outlet.   Then bring into that box your two 20A subcircuits, on 12 AWG wire.  All the whites get wirenutted together, then black #6/8 to one of the #12 blacks, and red to the other black.  Continue the #12 cables on to your outlet locations.  

If you ever fit the sauna, you'll need to abandon the MWBC.  You can't put 15/20A receptacles on a 40A circuit unless you fit a subpanel here.  However if you think you might fit a subpanel, run #6 wire.  That will let you breaker for 60A, and a 60A-fed subpanel will easily support the sauna and the 20A circuits at once.