I think by definition, all babies really have sensitive skin. They shouldn't be bathed in any harsh, perfumy types of soaps, or soaps that have a lot of harsh chemicals.
Babies don't need to be bathed often; two to three times a week with a gentle hypo-allergenic baby soap.
Some babies are more sensitive than others, but this might not be from a product that you're putting on the skin. It might be from being atopic, which is a type of allergic reaction in children. Oftentimes, babies who are allergic to milk or babies allergic to something in the household might have rashes like eczema or atopic dermatitis. You have to discuss with your pediatrician, if there is a certain exposure and you remove that exposure, maybe the baby does better.
Some babies who are breastfed, if their mothers eat a lot of peanuts, will get sensitive skin and rashy, because they're actually allergic to the peanuts, and it's passing through the breast milk.
Some babies who are on certain formulas that don't agree with them, they might also get rashes, and that might be another sign of atopic dermatitis that you should discuss with your pediatrician.
In general, babies do have sensitive skin. We don't recommend over-bathing them or over-washing them. You should use hypo-allergenic soaps. I don't recommend using dryer sheets on babies' clothing. Hypo-allergenic laundry detergent. Moisturizing with a hypo-allergenic lotion twice a day to keep the skin nice and moist.
If you notice that your baby is getting irritated or the diaper area is irritated more, bring it up to your doctor's attention. Sometimes the diaper cream that you are using might not agree with the baby. There's many, many brands on the market, and you might have to go through a few to find the right one for your baby.
In addition, sometimes the diapers are irritating to the baby. Now we have such absorbent diapers, they actually put a gel in the diapers to keep the wetness away from the baby's skin, that these chemicals that they put in the diapers sometimes can irritate the baby's skin, so you might have to choose a chlorine-free diaper for your baby.
These are all available in all baby stores. These are conversations that you can have with your pediatrician.