No need for a bath. Take a deep breath, you've got lots of sheds in your future with your new pet.
Some go through the process quicker than others, but as long as husbandry is good they shed just fine on their own. They've been doing it for thousands of years, just let nature take its course.
After their eyes clear their skin will appear "normal" for a couple days, and when they're ready, they'll shed.