I would put the heater on in the bathroom. I used to take my small space heater into the bathroom when I bathed Lily in the winter, just to make sure she wouldn't get too chilled there. Personally, I'd keep him snuggled in a blanket after the bath until he's dry - snuggled in a blanket will help him stay warm, especially if he's on you. If you have a heating pad, you could always put that underneath him, on your lap, to make sure he's still staying warm, but I don't think it's necessary.
~*~*~ Kelsey ~*~*~
RIP my sweet Lily ~ 6/12/08 - 1/20/12