The deadlock was broken after 16 minutes when Bobby Reid was tripped by Saddlers goalkeeper Richard O'Donnell as he burst into the box on the left and Baldock found the middle of the goal with a drilled spot-kick.
Reid had to be replaced because of injury in the 27th minute, but the home side stayed in control and could have been out of sight by the break as Baldock squandered two great chances.
Walsall were restricted to long range efforts in the first half and went close just before the interval when Romaine Sawyers fired narrowly wide from the edge of the box.
The visitors lifted their game in the second half, but were still unable to force a testing save from Elliott Parish.
At the other end Baldock had two more chances to make the game safe, but on each occasion was denied by goalkeeper O'Donnell.