How to bake shadows?

I know Unity Free doesn’t support real-time shadows, but it does support baked ones. The problem is that I don’t know how to bake those shadows.

In my scene I have directional light. I’ve setup it so it’s shadow type is Soft Shadows and Lightmapping is set to BakedOnly. Unfortunately, it still for some reason says “Realtime shadows require Unity Pro” (I know that, right?) and I don’t see shadows in my game. I don’t need realtime shadows, baked are enough, but I don’t know how to bake those. Any tips?

The reason it says “Realtime shadows require Unity Pro” is because realtime shadows require Unity Pro. Baked shadows however do not. You won’t see any shadows until you bake them.