It is useful to wash them occasionally- doesn't have to be often, even just once a year. But it helps get rid of dust, loose bits of skin, hay seeds in their coat etc etc. And obviously if you want to do a preventative against creepy crawlies (lice etc) you can use a Dermoline type shampoo. They definitely don't mind getting a bath- unless its a cold day and you use cold water! That wouldn't be fun.
Beth