I am in somewhat the same situation as you- my first daughter was born at 20 weeks, and unfortunately it was due to a condition I have which causes problems in all pregnancies, so this time I have been on bed rest since 23 weeks. It has been hard for us to celebrate this pregnancy or baby although we so badly want to.
We are going to have a shower after the baby is born (I know people say this is called a Meet the Baby party, but I am saying it is a shower, because it will be exactly like it would be before the baby was born. In fact, I may not even bring the baby- we'll see). It will be given by some of our friends who understand. It won't be huge, and yes, we are buying all the necessities for our baby ourselves before he is born (we have most of them already). Due to our fears and my difficulties being on bed rest, we haven't felt comfortable having a shower until recently, and now it is too busy with the holidays for our friends who offered to host.
I love your idea to honor your son, but I agree with other posters that this isn't necessarily the way to do it and that you should celebrate this baby. What my husband and I did to honor our daughter is we started a charity drive every November in her memory- we gave suggested causes to give to but obviously appreciated any donation anywhere. This was our first year without her but we will be running it every November for the entire month, as her birthday is the 30th. We raised over $2000 for worthy causes this year! Also we started a scholarship in her memory at the high school we both went to for a student going into nursing. Just a few ideas for you- and I am so sorry for your loss. I know how hard it is.