After learning the difference between simma and bada, I translated this as "I want to go swimming", which sounds to me closer to what is intended. In New England, if one wants to swim, they are wanting to practice laps in the pool or something like that. If we want to hang out at the beach, we want to go swimming. Writing it out makes it sound kind of weird. My kids never want to swim, but they always want to go swimming.
I agree, this is a bit tricky... Swedish also uses jag vill gå/åka och bada, and to some extent, this is preferable to just jag vill bada. Then again, both are certainly in use. I'll add "I want to go swimming", but I'm not overly happy with the pedagogics of it. :)