Our DS use to do this and once he did slip and fall and we weren't fast enough to catch him and he chipped a tooth on the edge of the bath.

Our strategy was to continually ask him to sit down. Then, when he persisted, we would tell him that if he didn't sit down, he would have to get out of the bath. It only took a few times of actually removing him from the bath for him to get the idea that he had to sit down.