Baptized in my vices and the bar is my church
His vices (drinking, etc.) is taking over his life. They are becoming his God. He feels as though the only way to become clean from the mistakes he’s made is through alcoholic self-abuse.
Baptism (full water immersion) is usually the manner one fully becomes of a church or religion. He’s talking about relapsing, so he became fully immersed in alcoholism, which made him a member of the bar (his church/religion).
To help improve the meaning of these lyrics, visit “Neon Cathedral” by Macklemore and Ryan Lewis (Ft. Allen Stone & Macklemore) Lyrics and leave a comment on the lyrics box