Think of baptism as a wedding ring. Just because you wear one doesn't mean that you are married, and just because you don't wear one, doesn't mean that you aren't. It is a symbol to everyone who sees it of the relationship between you and your spouse. Baptism is the same thing. It is a symbol of the relationship between you and God. When you are baptized, you are showing others physically what occurred inside spiritually. If you made the decision to put your faith in Christ and follow Him, then your first step of obedience, which is baptism, shows that decision in a physical way to everyone there to witness it or to learn of it later. But it does more than that. It shows you how to walk in your new life in Christ - dead to your old self, and alive in God as a new creation!
"What shall we say then? Shall we continue in sin, that grace may abound? God forbid. How shall we, that are dead to sin, live any longer therein? Know ye not, that so many of us as were baptized into Jesus Christ were baptized into his death? Therefore we are buried with him by baptism into death: that like as Christ was raised up from the dead by the glory of the Father, even so we also should walk in newness of life. For if we have been planted together in the likeness of his death, we shall be also in the likeness of his resurrection: Knowing this, that our old man is crucified with him, that the body of sin might be destroyed, that henceforth we should not serve sin. For he that is dead is freed from sin. Now if we be dead with Christ, we believe that we shall also live with him: Knowing that Christ being raised from the dead dieth no more; death hath no more dominion over him. For in that he died, he died unto sin once: but in that he liveth, he liveth unto God. Likewise reckon ye also yourselves to be dead indeed unto sin, but alive unto God through Jesus Christ our Lord. Let not sin therefore reign in your mortal body, that ye should obey it in the lusts thereof. Neither yield ye your members as instruments of unrighteousness unto sin: but yield yourselves unto God, as those that are alive from the dead, and your members as instruments of righteousness unto God. For sin shall not have dominion over you: for ye are not under the law, but under grace." -Romans 6:1-14