Really? I went and asked my CDE. She said, if it's a hot bath. Above about 110 degrees Fahrenheit (43 Celcius). It will make the insulin get absorbed more quickly and fully. So I took a thermometer in the bath with and me and low and behold my favorite bath temperature is 109 degrees Fahrenheit.
I suspect the threshhold is an artificial thing- in real life, any amount of warming will both speed up and increase insulin absorption. But my CDE was trying to put a number on how hot it has to get before she expected it to make a noticeable and significant difference.
If you were to use this effect consciously, you'd probably want to take your baths right after meals or at whatever time you are most likely to go high.
Some researchers are hoping to make a site warmer to go with an insulin pump to speed up the insulin absorption. With their warmer, they found that Novolog action peaked 35 minutes earlier than without it.
This effect is not specific to insulin. All drugs injected subcutaneously will be absorbed faster in heat, because of the changes in how blood circulates- it circulates more and closer to the skin when you're warmer.
Also, if you are storing insulin under warm enough conditions, it will be less effective- heat makes the insulin get absorbed more by your body but if you decide to bring your insulin vial into the sauna with you, your insulin in the vial is going to be less effective, even as the insulin already injected (or about to be injected) is more effective.