Jesus demonstrated the importance of baptism.
15 “But Jesus answered him, ‘Let it be so now, for thus it is fitting for us to fulfill all righteousness.’ Then he consented. 16 And when Jesus was baptized, immediately he went up from the water, and behold, the heavens were opened to him, and he saw the Spirit of God descending like a dove and coming to rest on him; 17 and behold, a voice from heaven said, ‘This is my beloved Son, with whom I am well pleased.’” Matthew 3:15-17 ESV
Jesus commanded us to be baptized.
18 “And Jesus came and said to them, ‘All authority in heaven and on earth has been given to me. 19 Go therefore and make disciples of all nations, baptizing them in the name of the Father and of the Son and of the Holy Spirit, 20 teaching them to observe all that I have commanded you. And behold, I am with you always, to the end of the age.’” Matthew 28:18-20 ESV
When should I be baptized?
12 “But when they believed Philip as he preached good news about the kingdom of God and the name of Jesus Christ, they were baptized, both men and women.” Acts 8:12 ESV