It's often related to having moist ears and/or moist earmold tubes.
When it's a bit moist, it will get soaked easily. The same goes for your ears. That's what happens when there's a little moisture and it gets trapped in an enclosed environment that's warm. If you're dry and get in a sauna, you'll just get hot and almost sweat. If you're already wet and get in a sauna, you'll start sweating bullets.
So, my best advice would be to dry out your ears every time you bathe/shower. Also, blow out your earmold tubes if you see moisture in them. Works for me. 
(Sometimes, not drying your ears before putting in hearing aids can often lead to ear infections.)
It also helps to have a dry & store container for your hearing aid. I have one.
