A swimsuit is quite common in Norway. Basically you ask yourself the question “am I going to make anyone uncomfortable”. If it’s single gender and people are not extremely shy, you generally go with only a towel, but nobody is really going to care. If you’re a gender mixed group of friends that don’t know each other that well, you might prefer putting on a swimsuit in order to make sure people feel comfortable and included.

From my experience the Swedes are the same.

This is based on private saunas with friends. In public mixed gender saunas I don’t think I’ve seen anyone go naked, but I’m sure certain Finnish tourists would and nobody would mind.