Movie about a man who dresses as a woman trying to kill a girl

Have been looking for this movie for ages, been around google, imbd, movie finder you name it, it is a old movie but also not that old, i dont know what relation that girls has to the man that are hunting her, think she saw a murder by that person dressed as a woman,im almost 100% sure that it is a man, he dresses in a fine black hat, black suit with skirt, maybe sunglasses not sure.
Also remembering a scene in a sauna or bathhouse where he is wrapped in towels, laying on the bench in the back of the room, she notices him, seems a little suspcious, lays down and he starts walking towards her attacking her with a knife.
I can only remember that, dunno if this is one movie or two, if im mixing some scenes together.

Sorry for my bad english, looking forward to some help, i appriciate it, thank you.

Dressed To Kill (1980)
starring Michael Caine, Angie Dickinson
directed by Brian DePalma

It would seem obvious it is that movie, ive been looking it up before, the dressed killer, saw a murder, but it isnt what im looking for, still a newer movie.
Thanks anyway.