I bathe my yorkiechi in the shower with me on Saturday mornings. I've been doing it since she was a baby.  I hold her on my shoulder to rinse her under the spray, so she won't get scared, also I'm careful to keep the water out of her ears.  I dry her with the blow dryer afterwards.
She likes it - she will jump in the shower if given the chance. 
My boxer likes to take showers with his skin brother.... 
Of course, you sometimes come out dirtier than when you went in!
