I think it's up to your comfort level- if you feel embarrassed about it, then wait until after your shower to add them for the completion discount. I personally added them, and often buy smaller items (lanolin, soothies, etc.) to put in a basket for the mom when I attend showers.
Several people did buy pump accessories, etc. for me at my shower, and I was very happy to get them. I do have a lot of friends that are nurses, though, so maybe they are less squeamish.