There is a quite comprehensive list (with hotlinks) of massage & sauna houses in Bangkok (and a few in the Rest of Thailand) at this Thai Message Board: http://www.thaimalemassage.com/board/index.php

The Board itself is 99% in Thai language, but on the opening page just go down to the bottom where you'll find the lists of interesting places for your (potential) sexual ~ or non-sexual if you wish ~ adventures.
Some of the sites are in Thai, but if you search on the main pages, you'll undoubtedly find there's almost always a location map link.

Cheers

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