The best relief for sore muscles is a warm-down and and stretching.
A warm-down should be 5-10 minutes of very easy aerobic movement; this promotes circulation, utilizes the "muscle pump" (flexing muscles lightly will move blood around), and allows the body to dissipate built-up toxins such as lactic acid.
Stretching will do much the same, and increase muscle-movement and range-of-movement.
That said, a sauna or hot tub can be great - but be careful not to dehydrate further: drink lots (of water!).
We're you just getting back to working out after a break? I always overdo it when I've had a break!
Nat Brown taught and coached cross-country running and skiing for 16 years before joining the US Biathlon Team as wax technician. In 1989 he switched to the US Cross-Country team. He was the first American to take over technical services for a foreign team (Slovenia) and worked also for Germany and Sweden. He has coached at 3 Olympics and 14 World Championships, edited Nordic Update for 9 years and Cross-Country Skier for 2. He has written three books on skiing and training; the latest was The Complete Guide to Cross-Country Ski Preparation (Mountaineers Books) which has gone through two editions and a Russian translation. He spends as much time as he can at his ranch in British Columbia where he most recently hosted a pre-Olympic training camp for Slovenia.