What is a conventional way to set a Modbus device address and baudrate?
There isn't a standard way for this and it's up to a vendor to decide what settings he wants to provide open to a user and how these settings will be changed by the user. Baud rate and parity are almost always fixed and you can not change them. Address is usually changed using hardware switches. I have seen devices (usually gateways) with web interface where you can change all these and many other settings via web browser, and touch screen devices with embedded Linux where you set these settings via setup screens and/or menus, but these are more expensive and not so common devices that fit less then 3% of the total number of all MODBUS devices.