Elin - while harsh shampoos (especially degreasing ones) do remove skin oils, they can't remove essential oils and nutrients, because those are transported inside the body to where they are needed.
bathing frequently isn't a problem if you use a mild shampoo or soap. if a shampoo is labeled as compatible with topicals such as advantage, it's not harsh enough to remove much of the skin oils - to which the advantage binds. mild soaps like for example dr. bronner's organic castile soap work well too.
some dogs with certain skin issues even benefit from frequent bathing with certain types of shampoos.
i give quigley a bath about every other week, since we live in a big city where pollution is rather high. in my opinion it's better for him to get bathed more often rather than leaving all the dirt in his coat and on his paws, where he only ends up ingesting it when he licks himself.
when we go for bike rides or really long walks in the city, i always wash his feet when we get home, for exactly the same reason.