How can I legally use classical baroque music in a stage play?

Yes, but a recording of it may not be.

Anything published in the US before 1923 is public domain.  Elsewhere, it's safe to assume that music created prior to 1860† is copyright-free, based on the provisions of the Berne Convention.

( † Specifically, if the composer died before 1948. )

You may use copyright or protected recordings in student plays without obtaining permission, provided that the play is not broadcast in any form other than on a community cable channel.

Use non-copyright music (which Baroque and Classical-period music will be) in recordings released more than 50 years ago (so, anything up to 1966).

You have to think about the copyrights of recordings, but I think you should be able to get around that. There's public domain recordings, much of it pop music, some classical.

Downloading "free" music can be a hassle. There can be hidden costs or viruses. The public domain sites aren't charities. If you have good equipment, you might want to record the music while playing it.

The music is of course public domain. The problem is that any commercially recorded piece is protected.