"Do you not ever mention baptism to people at some point?"
Not as a step to salvation like the Church of Christ.
The act of physical baptism in no way saves anyone! If it did, it would be a work that we do to be saved, and the bible is clear that we are saved apart from works.
But the Churches of Christ, not every single one, but the vast majority, believe in grace plus works for salvation and that's why for them, if you don't do the work of physical baptism, you are not saved.
I don't know how they answer about the thief on the cross. How could he have had a physical baptism?
Physical baptism is something we do to symbolize what's already been done in us, spiritual baptism into the body of Christ.