Twboi, I hope you have a great time! I had my first trip to bangkok in March, for a nine days, and it was one of the best trips I've ever had. Lovely weather, beautiful city and nice people. I asked a few questions on this forum before I went, and read a lot of postings from guys here who are much more experienced than me, and found it all extremely helpful, so soak it up!
I didn't visit any saunas, just the clubs. The guys on stage who are available wear badges with numbers and are rotated . At various points throughout the night, you will be approached by guys in suits who will ask you if you are interested in any of them. In many cases, they didn't come over to me, I think because of my age, they thought I probably wasn't interested. But even if they don't approach you, you can just ask one of the guys who works there and they will help you. you just give them a number and they will introduce you. If you leave with them, you pay a fee to the club to take them out to your hotel. The hotels are also very accomodating and nice about bringing people back. They may ask the guest to leave their ID at the desk. And I probably tipped them way too much because I am a newbie, but it was worth it.
You'll have a great time!