I wouldn't worry about it too much. I once talked to my OB about this once while I was pregnant. I love to soak in a hot tub. He told me to make sure I wasn't submerged, and to make sure that I had enough of my body out of the water that I would be able to maintain my body temp, and not to sit in there too long. I also cooled the water down a bit.
You just have to be watchful of your body temp. Your baby won't be able to control his/her temp. Our bodies have learn to control it, theirs have not. They are inside, so they will be warmer than you are on the outside. Just keep that in mind while you take your baths and you should be fine.