i think anytime after 6 months is cool coz that means even if you go early you shouldnt miss out on the fun of baby shower
i think like with everything there is no "supposed" to so you can have whatever you want whenever and just share the time before you have a baby with those who have been there done that etc (like a kitchen tea before you are married)
i did hear of someone waiting until after the baby was born and having a welcome baby party so the baby and hubby could take part too...