26 For you are all sons of God through faith in Christ Jesus. 27 For as many of
you as were baptized into Christ have put on Christ.
When I was a Pentecostal, I was taught that "baptism" mentioned in v.27, was not water baptism but "Spirit baptism". By this they mean, when I gave my heart to Jesus, or when I got converted, made a decision etc. that was when I got baptized into Christ. Pentecostals, being baptistic, separate the HS from water baptism, because they do not believe water baptism does anything. Hence, they separate the HS from where He is found. This has impact when you are doubting your Christianity. Because by this, Pentecostalism makes you look at your sincere commitment, sincere decision etc. Thus, this makes you look at some mystical experience, yet even if you do and are able to point at one experience, you are not certain if that is the one that the Bible describes. You are uncertain still.
Another idea I see is this verse in Gal 2:
20 I have been crucified with Christ; it is no longer I who live, but
Christ lives in me; and the life which I now live in the flesh I live by faith
in the Son of God, who loved me and gave Himself for me
I wondered, when did Paul die with Christ, how could he say this? I now answer my own question this way: at his Baptism.
Here is IssuesEtc feature on this.
Note what Luther says when attacked by the devil with doubts about his Christianity, he says to the devil: I am Baptized.
Luther pointed to the Means of Grace that happened to him.