One of the most famous baths of Budapest is Gellert.
Gellert Bath At Night Indoor Pool
Hotel Gellert and the Bath Adolf Huszar: Venus and Amor
To Gellért Bath the easiest way is to ride by metro.
You can take M3 metro line then you need to change to M4 metro line at Kálvin tér and ride to Gellért tér station.

But other possibilities you have, too, that you can plan here: