Shelties will only need baths about every three months--unless, of course, the dog gets especially dirty or stinky and an "emergency bath" is called for.
It's important when bathing a Sheltie to use canine shampoo and conditioner, as the kind made for humans has a different pH and can irritate a dog's skin. The best shampoo for Shelties includes brands like Earthbath, Isle of Dogs, and 4-Legger, most which also carry several types of canine conditioner.
How to bathe a Sheltie: make sure to give the dog's coat a good brushing. You can bathe your Sheltie in a bathtub (hopefully with a spray nozzle attachment), or in an outdoor plastic pool using a garden hose. Wet the coat thoroughly, then apply a generous amount of Sheltie shampoo to the dog's back. Lather well, moving downward and outward as you go. (And don't forget the legs, underbelly, and tail!) Clean the dog's face, head, and ears with a washcloth, then rinse the coat until the water runs clear. Repeat the above-described process with conditioner.
Towel-dry the coat, then continue with a hair dryer, brushing the hair out with your pin brush as you go. Finish by giving the coat another quick brush-through to make it look neat and clean.