When Ryder was in the NICU, before he was able to be discharged we had to give him a Swaddle Bath. I had no idea what this was, but soon learned. For a Swaddle Bath you undress the baby, diaper and all and then loosely wrap the baby up in a blanket. In the NICU they used fleece blankets, but any baby blanket would probably work. Then you put the baby in the bath-blanket and all. Then you unwrap one part at a time to wash and then recover that part back up.
What does this do? Well, no more screaming and crying from being cold and uncomfortable; which is very important with a premature baby as cold=shivering=using energy to stay warm instead of growing. And how effective is a Swaddle Bath? Ryder was snoring at one point during his bath. The Swaddle Bath really is the best way to give a bath to a newborn.
And here is a little video from Ryder's first Swaddle Bath at home.