I'm guessing this is more of a male/female issue than a purely nudity issue? I don't have a son and I don't cover up in front of my girls and don't intend to (to and from the shower) until they say "Gee, mom! This isn't a nudey camp!" But my husband has been covering up for the last year or so. The girls are 4.5 and 6.5.
So, first I would say to start when the parent feels uncomfortable. That way you have time to ease the kids into a new routine without making a big deal of it. 5yo can be the perfect time to get your own bath. You are almost too big to share the space anyway and need less supervision. You don't need to introduce absolute privacy, just start with bath sharing and go from there as you feel comfortable.
Give me a few minutes while I caffeinate.
My boy and girl took baths together until they were 6 and 4. It was really funny when they started to be concerned about privacy... they made a 'change room' with a towel between their dressers. After having their bath together, completely nude with no problems for half an hour, one of them would go into the change room to get dressed and if the other so much as glanced in their general direction by accident, they would scream bloody murder! This was the routine for a month or two before they were ready to give up the fun of sharing the bath.
~Teresa, raising DS (Jan. 02) and DD1 (Jun. 04) and DD2 (Dec. 11) with DH.
If I had to guess, I would say the older one will at some point make a comment that will make it clear he would rather not bathe with the little one. I don't know when that will happen but I would just respond calmly to it when it does, ("OK, you can bathe by yourself if you want.) and not worry too much about it otherwise.
My brother and I would wait for each other during showers on the bathroom floor. I was afraid that either one of us was going to go down the drain and I hated to be alone. So we hung out together til maybe 8 and 6. Then we just stopped one day. I didn't need him in there and he didn't want me in there while he showered. Follow their lead.
We were just recently on vacation with another family (well two other families actually) and the kids took a bath together, 8yo girl, 4yo boy, 3.5 yo boy. The 8yo would be randomly uncomfortable with the the younger boys' nudity (not in the bath, but like when a swimsuit sagged and showed butt crack or whatever). But she would also change into her swimsuit or pjs in the room with the two younger boys.
I figure when they are ready to stop they can stop.
We do talk about some people wanting privacy when they go to the bathroom etc. Sometimes ds will ask for privacy in the bathroom (although rarely at this point) so he knows about the idea and whatnot.
both dp and i still change in front of ds.
As long as all parties are comfortable, I see no issue. DS1 still occasionally slept with me until dh moved in, which was a few months after his 8th birthday. He also ran around naked until then. I was naked in front of him until...you know, I'm not sure when. He was home for some of my labour with Aaron, and I was naked in the birth tub. He didn't really pay much attention. Because I've breastfed three babies during his teens, he's also seen my breasts a lot.
DD1 and ds2 bathed together until a few months ago. Sometime around her 8th birthday, dd1 decided she wanted to bathe on her own. This was partly burgeoning modesty, and partly that dd2 had joined the baths, as well, and dd1 was finding them a little too raucus. So, she now bathes and changes in privacy...but she doesn't bat an eyelash if she walks into our room and I'm not under the covers. DH always wears boxers around the kids, except dd2, because of his own comfort levels. I'm much more casual.
Lisa, lucky mama of Kelly (3/93) , Emma (5/03) , Evan (7/05) , & Jenna (6/09)
Loving my amazing dh, James & forever missing Aaron Ambrose (11/07)