For the record, pre-baking the phone book does not appear to be a necessary first step, although with today's phone books, it may be. I saw this stunt performed on a 1950s episode of the game show "I've Got a Secret" (in rerun on the Game Show Network one Sunday night) by former Miss America Bess Myerson (who, this being the 1950s, resembled June Cleaver more than Sable), and given the way the books were being manhandled before Bess tore hers in half, I doubt that they were prepared in any way.
Of course, again, this may be a question of the quality of the paper differing between a 1950s-era phone book and one of today's. Also, Bess tore hers along the long axis of the book, in which direction it's slightly easier to squeeze the book in such a manner as to tear one page at a time.