Foreigners, tourists don't really know about it, mostly because it is on the west side of the city (Buda), even if it is next to the Danube. If you've been at the coast of Danube, evening, night, sure you've seen it on the other side of the river, it's lit up, very bright. Big +, it is open Fri, Sat nights in the hole year.
If you are interested in thermal baths, here is the the list of the Budapest ones (there are several similar old one, i will post about them later) + 2 countryside one (the biggest thermal lake in Europe, and a cave bath, but there are more than 200 in the countryside). Budapest, Balaton lake, thermal baths, the 3 main things what Hungary offers for tourists.

https://www.spasbudapest.com/baths
https://www.spaheviz.hu/en/rovatok/lake-heviz
http://barlangfurdo.hu/en/inside-basins