Hiya Carrie
I'm surprised only having a bath was mentioned when you spoke to the Ante Natal Clinic as itching like this in late pregnancy is usually investigated! - Skin changes are fairly common during pregnancy, many of which may be successfully treated with a 1/2% hydrocortisone cream. However, because the itching began in the 3rd trimester, I would ask your doctor to carry out some liver function tests and a bile salt level to rule out Cholestasis. Once your doctor has ruled this out, then view it as a dermatological problem that may be treated locally.
Cholestasis is characterised by itching and/or jaundice. This can be inherited or sometimes is the body's reaction to oestrogen levels. It is a build up of bile salts, which are incompletely cleared by the liver and accumulate in the serum of the blood. There are usually no accompanying skin changes with this condition however unless it is with scratching.
There are some drugs that help this condition and there is some evidence that there is a slightly increased risk of premature labour and stillbirth in some women with cholestasis in pregnancy.
Carrie, I don't mean to worry you in any way, but I think you should ring your Midwife for advice.