The baptism scene (the interior shots) was definitely filmed in Old St. Patrick's Cathedral on Mulberry Street. See the picture of that church (below). Interestingly enough that picture was taken during John Kennedy, Jr.'s funeral service. He lived a few blocks away.

The interior of Old St. Patrick's Cathedral


I can't swear that the exterior shots of that scene were filmed there, too. The church, and it's steps look similar to those in the movie, but Mulberry Street is a narrow street, and the movie's scene made it appear that the church was in a more "suburban" setting. See the photo (below) of the exterior of Old St. Pat's.

The Outside of Old St. Patrick's Cathedral


Luca's death scene was definitely The Hotel Edison. Its still there, and the lobby and restaurant (used for Luca's bar scene) are absolutely gorgeous (see photo below of the lobby).

The lobby of the hotel used for Luca Brasi's death scene