http://www.americancatholic.org/messenger/Jan2005/feature3.asp#top
The Church’s teaching in the Catechism of the Catholic Church is full of compassion: “As regards children who have died without Baptism, the Church can only entrust them to the mercy of God, as she does in her funeral rites for them. Indeed, the great mercy of God who desires that all men should be saved, and Jesus’ tenderness toward children which caused him to say: ‘Let the children come to me, do not hinder them,’ allow us to hope that there is a way of salvation for children who have died without Baptism” (#1261). In other words, know and believe that your unbaptized baby does have the hope of heaven.