This depends on the kind of keylogger you want to bypass.
If it's a hardware keylogger, i.e. someone broke into your home or office and installed a piece of hardware, the on-screen keyboard will prevent them from reading your password, as there is no signal transmitted from your keyboard.
If you're concerned about software keyloggers, i.e. malicious software, it entirely depends on what functionality was implemented by the attacker. If they just read the keys you press, an on-screen keyboard might help, depending on what part of the OS they attack. If it's not the OS's OSK, but e.g. a Flash program provided by your bank, it is safe from regular key intercepts, but it shouldn't be too difficult for an enterprising programmer to detect the location of clicks and record the nearest few pixels when the user visits a particular bank's website.
If you're already strongly concerned about malware anyway, e.g. accessing your bank website in an unknown and potentially compromised environment, just don't do it.