In general, it is beneficial to cover with a cloak while doing a steam session.
A blanket, sheet, towel or robe can be used as a cloak.
Cloak cover is a good way to stay warm and helps get a full body detox.
In certain situations, a cloak is unnecessary. If you are in a very hot environment then the cloak is unnecessary. It also might not be appropriate if your body is showing signs of excess heat such as hot flashes, night sweats or infections.