Laura, I'm not a veterinarian, but I do have a wealth of dog experience. If I were you, I would bathe him in diluted Murphy's Oil Soap. It is vegetable oil based and non drying, and has the added advantage of rinsing extremely rapidly (saves time) and well. Lukewarm to cool water is better than hot for soothing irritated skin. The dry skin and shedding may be a statement regarding his diet ... make sure he's eating a quality diet (meat the first ingredient, low or no corn/wheat additives) and supplement him with a teaspoon of Salmon Oil every day ... all might help greatly, if you're not already doing these things.
Something else that might help ... instead of giving him a full out bath, make a mixture of Seabreeze and water, 50/50 (you can also use Listerine, but Seabreeze smells better, lol) and spray it onto a hand towel until the towel is damp and just wipe him down. That will remove excess hair, dust, and oils from being pet that then in turn attract dust and dirt.
I hope this helps!