The only reason the GOP gained in Montana is because the Democrats picked up lots of seats in 2004 because of backlash against Martz (similar to the situation in Ohio last year). Baucus isn't going anywhere.
Another reason the Republicans gained seats in the Montana state lagislature in '06 was b/c almost all of the MT Democratic Party's resources and money was put into Jon Tester's Senate race. They had bascially no money whatsoever left over to spend on state legislative races. IMO, it was the right decision, and obviously this won't a be a problem for the MT Dems agian in '08 (Max Baucus's Senate reelection race is different b/c he is the incumbent and he is well-funded already and he is not likely to draw a strong challenger anyways, so he won't be a drain on the party, AND Brian Schweitzer and his stratospheric approval ratings are up for reelection as well) or in 2010 b/c neither Tester or Baucus will be up for reelection. I think the Democrats will win the MT legislature back in the near future.