In a Baptist church (or at least the ones I've been in), they consider baptism an outward act that's symbolic of a decision that they made within their hearts. If that makes any sense. Sometimes they have baby dedications, but they don't baptize anybody until they're old enough to make the conscious decision that they want to follow Christ and be baptized.

I never got a gift when I was baptized, either, Shona.

It would be a nice gesture, if you wanted to, but it certainly wouldn't be expected. If you did want to do something, a card would be nice, or if you really wanted to get them a gift, maybe a devotional book or a prayer journal or something. I think it's just up to you, but it's certainly not expected.