Micro pigs are extremely clean and would not generally require bathing.
If you do wish to give your piggy a bath or shower here are a few tips:
1) Always use a non slip matt to ensure your piggy doesn't slip and injure itself
2) Micro pigs naturally have dry skin, use a Lanolin based or non degreasing shampoo
3) Place a few treats in the bath or shower, perhaps a few pieces of carrot, to help keep your piggy interested and to make bath times exciting.