They were pricked in their heart and said, What shall we do?

Peter preached the Gospel on the Day of Pentecost.

"Now when they heard this, they were pricked in their heart, and said unto Peter and to the rest of the apostles, Men and brethren, what shall we do?" - Acts 2:37

"Then Peter said unto them, Repent, and be baptized every one of you in the name of Jesus Christ for the remission of sins, and ye shall receive the gift of the Holy Ghost." - Acts 2:38

As Ananias said to Paul,

"And now why tarriest thou? arise, and be baptized, and wash away thy sins, calling on the name of the Lord." - Acts 22:16

When Peter preached Acts 2:38, they did not tarry - they were baptized that same day!

"Then they that gladly received his word were baptized: and the same day there were added unto them about three thousand souls." - Acts 2:41

"And they continued stedfastly in the apostles' doctrine and fellowship, and in breaking of bread, and in prayers." - Acts 2:42