Only when needed, I bathe my peruvian girl about three times a year.
What you do need to do o a very regular basis is to trim his fur, especially around his bum to prevent matting & him getting dirty/urine scald.
I highly recommend (broken link removed) shampoo over any horrible pet store brand. The "Posh'n'Go" shampoo is specifically made for peruvians.
You need a very gentle shampoo for cavies without harsh SLS/SLES, perfume, silicones & paraffin, ph balanced & without harmful chemicals. Preferably with a natural moisturizing agent.
Also make sure he's completely dry before putting him back in the cage. If you use a blowdryer, be very careful & use it on low heat.