The basic steps are:
1) set up your model and textures / scene for baking
2) right click the object to bake, choose baking/assign new bake set…
3) set up the parameters for baking as you like. to re-edit them, right click the object, then select baking/edit attributes/texture…
Baking a texture out WITH alpha is hard. Even though maya lets you select HDR, TIF, and TGA as bake texture formats.. when you go to open the texture in photoshop, the alpha channel is black, not 0 alpha. Even though your resultant texture will have an alpha.. I think there is a flaw in the maya export process. Anyway, so to KEEP the alpha, you go RENDERING (menu) / Lighting/Shading / Batch Bake (mental ray).
The file will be output in whatever format you chose in the Baking Set options in
C:\Users\YOURUSERNAME\Documents\maya\projects\default\renderData\mentalray\lightMap, but THAT file will have 0 alpha pixels as BLACK, not 0 alpha. So ignore that file, it is useless. Go to Hypershade/Textures tab, and find the texture starting with baked_.. That is your baked texture. RIGHT CLICK IT AND SELECT TEST TEXTURE. SAVE THAT as PNG.
And that is the only way I found to save the alpha channel in a Maya baked texture.