Gay Bath House in Illinois USA Advertisements While it may be difficult to get a good Gay Bath House in Illinois it is possible to start off by asking athletes or other persons who may frequent a single. Steamworks Baths (Chicago) – Chicago, Illinois, USA. On November 5, Illinois, United States. Steamworks Baths (Chicago) is a gay bathhouse in Chicago, Illinois, USA. A private membership gym/sauna/bathhouse for men 18 years and older. Always open, 24/7, days a year. Steamworks is a clean, safe place to hang out, work out, meet .