If the baby arrives after you've been granted Residence, s/he being born in NZ to Resident parents will automatically be a New Zealand citizen.
http://www.dia.govt.nz/Services-Citi...n?OpenDocument If s/he's born before you have Residence, s/he will be able to be included in your application, and will get Residence along with you, or possible, depending on the stage your application is at, in her/his own right as a Dependent Child
http://www.immigration.govt.nz/opsmanual/i37570.htm (your CO will tell you which at the time).