As with all Sims, they will get naked before getting into the shower or bathtub. As with all The Sims, there is a massive censorship blur. As with all The Sims, there are mods to remove this blur and make your sim more anatomically correct. In The Sims 3, there is a Trait called "Never Nude" that a sim can have that does exactly what it says on the tin: Your sim will wear underwear while bathing.