I want to begin by saying that I think it's very sad when some people assume there is something sexual about a parent taking a bath with his or her child.

As to if you should be taking baths with your future son, that will be entirely up to you to decide.

If you want your son to grow up feeling at ease with his own naked body, that is the example you need to set, as a child will do what he or she sees you do, not what you tell them to do.
If you make it out to be a big deal to be naked, your child will feel it is a big deal.

Best wishes to you and your wife on the expected birth.