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According to Emanuel Swedenborg (1688-1772) and the New Church, all infants and children who die before they are adults go to heaven and are raised there until they grow up and become angels themselves. This, Swedenborg says, is true whether or not they have been baptized, and no matter where or in what religion they were born.
Baptism, Swedenborg says, does not itself confer salvation, but rather symbolizes the spiritual washing of rebirth or regeneration that must take place for us to be saved and become angels in heaven.
Swedenborg rejected the Catholic doctrine of Original Sin, saying instead that we have inborn tendencies toward evil inherited from our parents and ancestors. Until we have chosen to act on those hereditary tendencies toward evil of our own free will as rational and self-responsible adults, we are innocent, and are therefore destined for heaven rather than for hell.
So although Swedenborg often says that we humans are "born into evils of every kind" (see, for example, Divine Providence #83), our infancy and childhood is a grace period in which we are not held responsible for those evils because we have not chosen to act on them of our own free will as self-responsible adults.
Once we reach adulthood, though, we are held responsible when we choose to act on our evil impulses instead of on our good impulses. Then, and only then, according to Swedenborg, are we in danger of going to hell.
In short, only those who choose evil over good as rational and self-responsible adults go to hell. All infants and children, and also most teenagers, have not yet reached that stage. Therefore, according to Swedenborg, they go to heaven if they die before reaching adulthood.
They do not become angels immediately, however. Rather, they continue to grow up in heaven under the care of angel parents until they reach adulthood and become angels themselves.
For more on this subject, see the chapter on "Children in Heaven" in Swedenborg's book Heaven and Hell (#329-345).
For a readable contemporary presentation of the same ideas, written for those who have lost a child, see my article, "Where are my Children who have Died? Will I Ever See Them Again?"