If you do, they will smell less and get more beautiful fur. If you give them frequent baths, their skin will get dry which they will counteract by producing more grease.
I only give my ferrets baths when circumstances demand it, like when they've gotten dirty, which happens surprisingly seldom. Not even when they play in the box with flowerpot soil do they get dirty, nor do they drag the soil around much when they've been there. Last time I gave them a regular bath was in May 1994, and only one of them have gotten a bath since then. Before that, I gave two of them baths in Dec 1993, and at the show in Mar 1994 both of them got got high marks for their fur, so I'm not alone in thinking they look better that way.
Bathing males who are in heat to get rid of their smell doesn't seem to work at all.