I think it would be "I am going to swim in the ocean" (or "sea"). "gonna" is slang for "going to" and while not everyone likes it, it might sound alright around friends of the same age (less likely to care about "correct" language!). But you wouldn't "have a bath" in the ocean, and you wouldn't do it "on" the ocean (on means at the surface, like a boat).

'I'm going for a dip', is also used. It just means that you are going to go into the sea, therefore you could say it if you were going for a swim or for a bath. It's very relaxed type of speech.

I am going to take a bath IN the ocean. I am going to swim in the ocean. I am going to take a bath IN the sea. I am going to swim in the sea. *On is an article. It's used as a function word to indicate position in contact with and supported by the top surface of. Ex: The book is lying on the table. *Gonna is informal. It is slang for going to. Ex: We're gonna win this game today! Hope this helps Jonas!