Jaffer,
to set baseline is actually to save baseline
You can save 11 baselines in Microsoft Project (Baseline (0), Baseline 1 – Baseline 10).
The good practice is that you save baselines to Baseline 1 – Baseline 10 and keep Baseline (0) as a placeholder for comparison.
In another words, if you want to compare your current plan with one of the baselines you have saved, you copy the Baseline X you want to compare your project with to a Baseline (0) (Tools=>Tracking =>Set Baseline => Set interim plan => Copy Baseline X into Baseline).
This is because by default MS Project offers filelds, which compare current project only with Baseline (0), e.g. start variance, duration variance etc. To compare your current project with Baseline1-Baseline10 you need to define user fields, so it is easire just to copy it to Baseline (0)
Regards.
Evgeny