Sorry, went off to bed last night!
I think you need to stop trying to tell him off, so he doesn't get the chance to drown you out (little monkey!)
I think you are doing the rights things, apart from that. Remove him from the room, and yes end things like the bath straight away
My view on behavioural things is that you can still be doing it right, even if it's not working immediately! Frustrating, but true imo. Often I think it's easy to think things aren't working, and then cast around trying 10 different strategies which just serve to confuse the issue and weaken the message you're trying to give.
i think it's about being totally consistent in your approach. Kids just need that time to learn. At the moment your DS still has a huge drive to act impulsively and he acts on the spur of the moment without considering things as an adult would. Doesn't mean there's anything wrong, he's very normal.
Also I think you have to play the cards you are dealt; you obviously need to leave them alone together as little as possible; I guess you should be able to bathe them together, or put the kettle on while they play in the other room but behaviour probs can make you very pragmatic; you just have to deal with the situation you have, not the situation you thought you would have, or should have...iyswim.