If you are going to the Baths of Szechenyi, then the final stop of your stop will be the metro station "Heroes Square" and you should take it. It is located on the oldest branch of the Budapest metro - a small peron, with three trailers approaching. This branch runs from Heroes Square and along the entire Andrassy Avenue. This is the fastest metro in continental Europe (before it, the metro appeared only in England).
Getting off at the station, you will walk to the Szecheni Bathhouse in a few minutes. There are a lot of people on weekends and weekdays. It is better to arrive around 11 o'clock and then have time to enjoy the pools without huge crowds of tourists. There are many pools with water of different temperatures, saunas. Locker rooms (cells) are paid, when you buy a subscription, you buy a place in the locker room at the same time.