The former West Ham striker has became the sixth player to don the armband in the last 12 months and says he has been giving plenty of encouragement.
"The lads have taken to it quite well and seem to be listening to what I have to say," he told the Bristol Evening Post.
"I'm quite vocal anyway, so I'll say what I feel and where I think we can improve.
"I like to give a lot of encouragement too, and if I can keep encouraging and we can keep the belief around the place, we can go places."
Baldock's side face Wolves on Saturday looking for their first Sky Bet League One victory of the new season.