Yes, same here, my parents used to give me niacin when I was a kid to. I did the purif when I was 19 I think and it took me 2 weeks and I sat 4 hours a day.
Come to think of it, the Purif is acutally the only thing from Scientology that I occasionally practice on my own.
I often sit in the sauna for a long time, I love it. Yes, you need to drink a lot and replace your sweating with salt. Sometimes I even take some Niacin because I like the reaction. One time after I'd come home from Asia and had a fair share of weed, I sat in the sauna, and after I'd taken some Niacin I could suddenly smell weed. Hehe.
If you take Niacin on an empty stomach, yes you can get cramps.