I haven't tried baking with it, but I bought it to use as a non-chemical, no-calorie sugar substitute in coffee. The amount you use is different (you use 1/3 teaspoon of stevia where you might use 1 teaspoon of sugar), the consistency is odd (very fine like powdered sugar), and the taste is a little off, but maybe most relevantly for what you're asking, it doesn't seem to mix into solutions as well as sugar does. Still, baking ingredients are, by and large, inexpensive enough that there isn't TOO much harm in experimenting, if you have the time for it.
Speaking of experimenting, I bought Fergus Henderson's (first) book. Those are some serious recipes! I think I'm going to have to give some of them a try one of these days, though.