It should not be a problem to get taxi and no need to worry about anything. I am sure you will enjoy the time there. Another way could be, you go the a FFK Sauna Club in Dietzenbach. That place is more near to the airport and you don`t have to be afraid about traffic jam. Tha club is cheaper and the enviroment is not so great, but the service is also very good, could even be better than Palace or Mainhattan.
You can find adress and details here:
FKK Sauna Club Frankfurt Dietzenbach
Have fun and enjoy your trip,
Steven