dan - Below is a copy of advice I posted a while ago:
Position the panel behind (under) the lip of the bath, this allows for silicon seal and produces a desirable 'shadow line'. In attempting to get it flush you'll be left with an unsightly, uneven and leaky join; it will also not accommodate movement, tucking the panel under the lip will.
Make a support frame from treated battern, it just needs to be screwed together. Ok, how to tile the panel? You must use exterior grade ply WBP (moisture resistant) - 12mm thick is good. DO NOT use wall-tile adhesive to fix the tiles to ply - the tiles may not stick permanently.
Method:
Dry fit panel to framework to make sure of clearances, ease of fitting, etc.
Remove the panel from the framework and lay flat, we usually do this over the bath if space is tight or otherwise on the floor. This is where you tile. Fix the tiles to the ply using solvent GRIPFIL - apply the Grip in a square , say 10 to 15mm in from the edge, around the back of the tile and a dot of Grip in the centre (others here have suggested flexi tile adhesive but we always use Grip). Set the tiles on the ply by sliding into position, position with spacers, allow to set. Remove spacers, lift panel into position, masonary drill through the tiles to provide holes for your chrome capped screws into the batterns, screw into position, put the caps on (otherwise the threaded holes will get blocked-up with grout. Then grout with waterproof stuff. When all is dry run a bead of decent silicon along underside of bath rim/top of panel intersection.
So you don't tile with the panel in situ.