So why don't the baddies just KILL the Doctor?
Because the millions of times they have faced him in the past, it wasn't like they were playing cards.

At this point, I would imagine they realize it's probably harder to actually kill The Doctor, with certainty, than it is to just imprison him like that...
Nah, that's rubbish. They're not stupid; they know if you cut his head off he won't come back.
Where was that said in the series?

I honestly don't remember hearing of such limits. But, as the Doc has survived radiation poisoning on two occasions (
Planet of Spiders, End of Time), falling twenty stories (
Logopolis) or higher (
End of Time), American medicine (
Enemy Within), redistributing power from the temporal vortex of the universe (
Parting of the Ways), being shot by a Dalek (
Stolen Earth), and whatever the hell killed Six and Eight, I feel pretty strongly that it would take a great deal more to kill him than just cutting his head off. Besides, that's too "Highlander". Ugh.
Besides, the Daleks ought to know how to finish off a Time Lord having fought the biggest war ever with the buggers.
But, as is consistently pointed out, The Doctor is not only
not just another Time Lord, keep in mind that
he alone won that war. The Doctor wiped out the two most powerful races in the history of his universe. Do you really think it's logical that these new toy Daleks think they can stop him? I have more faith in the character, as he's been kicking everyone's ass for probably around 2000 or 3000 years.
The best rationalisation I've heard for why they don't just kill him is that the more moral races like the Judoon wouldn't go for that; imprisoning him to prevent him from destroying the universe is more moral.
I'd accept that rationale, but only if I thought the Daleks, Cybermen, or Sontarans would submit to their rule of law. Besides, if the Shadow Proclamation is in league with these guys, it shows that their morality is questionable at best...