Treat a visit to the Wall Street Baths like jazz scat. There’s no right or wrong way to do it, just let your body guide your journey through rooms hot and cold, flitting in and out of some and lingering in others as your internal temperature dictates. But if your time in the sauna is a nebulous freeform, the anchor for your trip should be a visit to the in-house restaurant, Matryoshka. Order a feast to be spread out on the plastic tables scattered throughout the dining room. Start with the Moscow dumplings, essentially beef stroganoff in dumpling form, and the golubtsi, paper-thin cabbage leaves wrapped around ground chicken and smothered in a light tomato sauce. The lamb kabob comes with a smattering of onions, which will snap you back to life after your time in the heat. You might be tempted to order the mixed vegetables to round out all the meat—don’t. The sad cucumbers, tomatoes, and onions look like they came from a freezer bag left in the steam room overnight. Instead, get the cheese blintzes and venture back into the stone-heated sauna—good for gut health, allegedly.