The Chiefs reached the quarter-finals of Europe's premier club competition last season but were made to do it the hard way, as they failed to take a single point from their opening match against Ospreys.
Baxter is hoping his side can make a quicker start this season, as they prepare to take on Top 14 leaders Clermont Auvergne at Sandy Park on Sunday.
"A win in your first game is pretty important," Baxter said. "There are only six rounds of games, and as we saw last season, not getting a point at the Ospreys put us on the back foot immediately.
Exeter will face a tough challenge if they are to progress through to the quarter-finals of this season's competition, as they will also take on Ulster and Bordeaux Begles in Pool Five, but Baxter believes it is important his side attempt to lead from the front in the group.
He added: "You have to fly into your first couple of fixtures, and that gives you a chance to be a leader, but if you lose, you are a chaser. We will focus on being a leader after these two rounds."