There are so many ways to get in and out of the place. You could walk in the front door, sneak in a side window, teleport on top of the roof, or even project your body into a nearby fish and swim through the sewers before emerging in the spaces beneath the bathhouse. Your dark vision power will let you see enemies on the other side of walls, and even highlight their vision cones so you can tell when and where you're able to sneak by guards. Sleep darts can put sentries to sleep, while stealthy pick pocketing can help you get the keys you need to access restricted areas.