You should keep your breathing slow inside of a steam room. Alternate between breathing your mouth and breathing through your nose. The hot steam will go into your lungs and increase blood circulation within your body. This can be both relaxing and have healing effects for asthmatics and people with breathing difficulties or sinuses.
Always consult a doctor before using a steam sauna, especially if you have issues with your heart or lungs.
If you would like to learn more about breath work, check out this book: