It's ok, but "vado in piscina 2 volte la settimana" it's still better for me.
Also "faccio il bagno" is not the same thing as "nuotare" (bathe vs swim?)....Generally speaking, you can say:
- Faccio il bagno / la doccia (I have a bath/bathtub or shower)
- Faccio il bagno in/al mare/lagoz
- Faccio il bagno in piscina but, more often, you swim in a swimming pool, for instance you train for a contest whilst "fare il bagno" is when you swim just to have fun....