You don't have to shower or change. Take of your shirt - or leave it on if you really want to.

Shoes would be weird. If you don't like flip flops, do you have slides? I would do barefoot before shoes.

Wear your headphones if you like. But just to be social too - make sure you maintain eye contact with everyone else in the sauna with you for the duration of your time there. Just shift eye contact from one person the the next if there is more than one. 😉