S.M.
I have a funny story. I was talking to a mom who's 5-year-old girl is best friends with my son. When her daughter made a similar discovery, they had a conversation about appropriate times and places. Then for the next month or so, she would say "Excuse me, I think I need to go to my room and be alone for a while." She was so matter-of-fact and her parents would just look at each other and blush, her husband thinking "Oh my goodness! What have we done?" (Mostly because of how FREQUENTLY she would excuse herself.) But hey - better than self-stimulating at the dinner table, right? (She doesn't do it as much now, or at least she's discreet enough that no one knows.)
At 2 1/2 though, you won't be able to have conversations on that level. So I would just focus on *when* and *where*. It sounds like you've already made progress where' it's more important, in public. Also when in public, clothing can help make access difficult. (Although once potty training starts, she'll need clothing that gives her easier access, but you can cross that bridge when you get there.)
I wouldn't be concerned with it at bathtime, since it's probably one of the few times she's naked, not do you have to worry about germs, cleanliness, etc. Think of it as another bath toy! :) At nighttime, is she's in bed on her own, I also wouldn't be too concerned. If you're right next to her reading stories, you can tell her to cover herself with a sheet for privacy. I wouldn't let it bug me, though.
Don't worry about the age - it's completely normal at ANY age.