My brother and I are 1.5 yrs apart. I was about 4 and he was 2.5 when we stopped taking baths together. I don't remember anything about it and stayed very innocent and naive throughout my teen years, so I don't think it had any bad effect on me. :)
I would probably make separate sleeping arrangements by the time one of the kids starts kindergarten/5 yrs old.
My husband has two older sisters---one is two years older and the other three---and his mom separated him from sleeping with them when he was about five. He doesn't remember ever bathing with his sisters.