Learn Polish: Przygotowała sobie gorącą kąpiel, bo była zmęczona. - She prepared a hot bath for herself because she was tired.

Yes, you could just say przygotowała gorącą kąpiel (she prepared a hot bath). Adding sobie means she prepared it for herself. It is the Dative form of the reflexive pronoun się, often used to show that someone is doing something for their own benefit, treat, or comfort.

Could we use się instead of sobie here?

No, because się usually shows that the action is done directly to the subject, while sobie shows that the action is done for the subject. Przygotowała się would mean she prepared herself (for example, for a trip or an exam), whereas przygotowała sobie means she prepared something for herself.

Why is the adjective gorącą (feminine) used with kąpiel? Doesn't kąpiel end in a consonant?

Kąpiel (bath) is a feminine noun, even though it ends in a consonant. It is one of the exceptions you just have to memorize, similar to noc (night) or rzecz (thing). Because it is feminine, its adjectives must also take feminine endings, which is why we use gorącą.

If kąpiel is feminine and the direct object (Accusative case), why doesn't it end in -ę?