You might want to try a sauna (they all have cabana rooms). There's a new sauna, Style Sauna, down the small soi 2/1 on the other side of Silom Rd. from Silom Complex. Go down the soi, and you'll see Richard's Restaruant at end in front. Turn left, go to end, and Style Sauna is on right (corner). I went there several times on my trip several weeks ago. Entry was 150 baht--but they gave me a coupon for free entry. New concrete structure--nice--cabana rooms on 2 different floors, shower area, sauna, steam room on another floor. Open 3 to 3. The only thing that bothered me was I'm not sure if the towels will correctly cover the windows on the doors (I was able to spy a little on some people). But I don't think I had any problem covering the window myself when I went in with someone. It might be the way the hook is compared with the dimensions of the windows.
There is another sauna, Sauna Mania, off Soi Convent (also near Silom Rd.). They're open until 6 a.m. on weekends.
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