Seems like it is about time to teach modesty. Boys and girls dont see eachother naked, etc. I know it is a pain in the butt, but you will have to give them baths at different times. Explain to him that there is nothing wrong with touching himself but he must do it in private.
Your DD is to young to understand, so really the only way to curb the behavior is by preventing it. Like different bath times. Also do not allow the other child in the bathroom while the sibling is getting bathed. This will teach the modesty thing.