Bad Kitty with Calypso Charters goes to The Baths.
http://www.calypsovi.com/ - they do the "loop" that Matt mentioned above...stopping at the Indians or the Caves and ending at the Soggy Dollar - (in my opinion the Soggy Dollar is another must see for newbies : )
Wish upon a Star also does a Baths trip -
http://www.virginislandsthisweek.com/st-thomas/powerboats/wish-upon-a-star.html Good luck finding the right one