It sounds like you are running into an issue that is currently under review as: CLRT-79581 - If a baseline is created in Microsoft Project (MSP) using the new MSP Interface driver, team Baseline Usage/Baseline Work is wiped out when saving back to PPM. I'm working on publishing a KB on this and will post the link in this discussion once it's published. The only workaround so far is the one noted by Brandon which is to create the baseline in PPM.
Also, if you are using MSP2010, it is recommended to only create baselines in PPM due to a Microsoft Defect. See: http://www.ca.com/us/support/ca-support-online/product-content/knowledgebase-articles/tec1019129.aspx