I have always been a fan of the baking method simply because a good 20 minutes (give or take) should make sure any parasites inside of the wood are good and dead.
Soaking on the other hand, while good for disinfecting the surface and a little below, I find is ineffective for anything living deeper inside.
I found this out while using a smoker. Wood chunks that were maybe 4x4 cubes rarely were saturated deeper than a quarter of an inch. After discovering this I did some home testing and discovered that even letting one of these wood chunks soak for 3-4 days saturated them only a half to 3/4ths on an inch. Wood can become completely saturated, but it would take some time.
These were apple wood chunks if that makes any difference in relation to density.