Hi, Shawn —
I sense these are questions we have already answered. I've done a little work for you and picked out the important postings from our Knowledge base and appended them to my answer. Most of the time, these type of questions arise from a misunderstanding of Purgatory or how our own works, In Christ, play out in the salvation of mankind.
You said in your question:
. . . that there is nothing for us to do but believe in Him and let Him work?
Yes, believe by obeying His Church's teachings, by word and behavior, and witness as a evangelical Catholic; letting Him work In us.
Baptists will never understand the concept of Jesus working In us because they don't understand how Jesus is in us through the Eucharist.
In order for them to fully understand what we believe they should consider buying a cheap copy of the Catechism of the Catholic Church.
The Commissioning of the Disciples
16 Now the eleven disciples went to Galilee, to the mountain to which Jesus had directed them. 17 And when they saw him they worshiped him; but some doubted. 18 And Jesus came and said to them, "All authority in heaven and on earth has been given to me. 19 Go therefore and make disciples of all nations, baptizing them in the name of the Father and of the Son and of the Holy Spirit, 20 teaching them to observe all that I have commanded you; and lo, I am with you always, to the close of the age."
Like all the reformed churches of the Reformation, they have an invalid priesthood and therefore have, except for Trinitarian Baptism, done correctly, and Marriage, invalid or no other sacraments.
This has nothing to do with what the Church did but what Thomas Cranmer did, who changed the form (the words) for the sacrament of Holy Orders, which makes a man, a priest.
These postings will help the Purgatory aspect of your question.
What's important to remember is, those being purified in Purgatory have been saved by the Jesus, the Blood of the Lamb, and are destined
Try the search engine next time.
It will save us both time : )