When son was around 6.5 and daughter was around 3.5 we discontinued joint baths. But that was pretty much a "space in the tub" issue.
Generally, when they begin desiring privacy (while toileting, for example) then we all respect their desire for privacy. We are a bit more conservative than some of the families on this site, and tend to keep nudity to the privacy of our own rooms/bathrooms. That is just us, it may be more in line with what you are comfortable with, it may not. But your kids will let you know when they desire more privacy.
Eventually (it's still REALLY early) your son will not want you to "help" at potty time. Ever. At some point he will begin asking to bathe on his own. etc... just take it as it comes and it will be fine.
The general rule of thumb for us is that everyone needs to be comfortable. If a child running around the house in front of guests/grandparents makes them uncomfortable, then the child should either be in the privacy of their room, or put on something so that the guests aren't uncomfortable. It is courtesy. And if the child is uncomfortable being naked in front of anyone, they are entitled to cover up or close the door, etc.
As I said, in our household, that trends more to privacy. My husband has never been one to go shirtless even. He just prefers to have on a T-shirt instead of nothing unless he is going to bed. I don't know why, I've never asked. My father never went around the house without a shirt of some sort either. Our son follows Dad's footsteps and wears a shirt of some sort, too, when he is up and about. btw, our son is 14.
I, for one, think modesty is not a bad thing. It doesn't mean you aren't comfortable with your body or that you have any issues with sexuality.