I think skate baking just makes them fit the contour of your feet better. Various bumps and what not. I have a few Bauer bumps on my heels and the baking helped the boot shape around them. Where were they loose - side to side or the length of the footbed?
Actually they were mostly loose from top to bottom. Its like the laces weren't pulling the sides of the skates together enough on the top. I was even using waxed laces. My skates are an r (regular) width though so I don't know.
I think the heat will make the boot more pliable and will allow you to pull it closer. Maybe when it cools down it won't expand back to that wider position and you won't have to deal with it again. My local shop offered to re-bake if necessary though.
there is a material on teh inside of the skate that turns to a less solidified substance when heated so when you put your foot in and tie the skate up the material solidifies and conforms more to your foot
It sounds like your skate is too deep for you. You should consider picking up some footbeds to take up some volume. Shock Doctor makes a good hockey footbed. Another brand to look at is superfeet. Put those in the skates after you bake them but before you put them on. That should help. If your skates are still loose afterwards you might have to get a different pair.
A good rule of thumb when buying hockey skates is that you can always make a skate bigger but you can't make it smaller.