The Blues' first match under the Spaniard ended in defeat as they were beaten 2-1 by Austria Vienna on Sunday.
Baines feels that the new approach, with Martinez at the helm, will need work before the club start to see the right results.
"It's a work in progress at the moment [and] there's a change in style of play and the way that we're going to play this year," Baines told the club's official website.
"We've got to start to adapt now to the way the manager wants us to play so that's what [Sunday] was about.
"We were a little bit behind with Vienna being ready to start their season. We're just starting our pre-season so there's a little difference in that. I thought it was a good workout in the end and something good to start off on."
Baines was voted Everton's Player of the Year last season and has been a target for Manchester United this summer.