I've never been a fan of bathing cats, personally, so I wouldn't be able to give much advice on this. My feeling on it is this (unless your cat has long hair, which I have little experience with):
Cats do a VERY effective job at bathing, and in fact take quite a bit of pride in their job well done. I've found that it's rather imposing to try to bathe them, and offends them a bit...as if to say, "since you haven't done a good enough job, I'll do it".
One thing that might help is to give your kitty some tuna or salmon juice (just put it in a dish when you open a can of either). It gives them a bit extra of the natural oils that help their fur be as healthy as it can be. You'd see a big difference.
Maybe kitty can't handle having all the natural oils removed from the fur, and subsequently the skin, and it's drying his/her skin out.
May I ask why you bathe him/her?