You absolutely can Francois and I would absolutely recommend you do that and in fact it was a thai friend who first suggested that I do that as ( and this never occurred to me as it would normally never happen here in Europe) but he stated that it was more usual than not that the condoms you would be given in the the saunas in Thailand would be both of cheap manufacture perhaps but also more scarily also perhaps be out of date as the Thai guy behind the counter maybe couldn't read the european calendar date printed on the condom - and even if he could he probably wouldn't care enough to not give you them - plus as you've saving them money the sauna's are of course more than happy that you bring your own condoms ( and lube) too usually - and at least then YOU know what you're getting and using and you can also bring the required amount and not have to run about the place begging for more if you need them.