As hard as it was, I did wait until my shower to buy very much. I did buy a few clothes here and there, but tried to have some restraint. I hesitate to buy a lot of clothes, because I don't know the size he'll be at birth or how fast he will grow. Also, people love to give clothes as gifts - either newly bought or hand-me-downs - and I've heard from friends that their babies grew so quickly that they didn't even have a chance to wear all the clothes they had accumulated.
I don't think you have to wait for your shower necessarily, but maybe only have items on your registry that you don't mind waiting to have. And as someone else said, save the receipts! I actually don't think I'll be making any returns because I didn't really have people double up on the gifts, and because I waited until after the shower to do my own shopping. It does actually make more work for you if you have to make returns, so there's that. I'm still not buying too much, because some people might give their gifts once the baby arrives. Also I want to wait and see what we want/need once baby is here. Don't want to spend a lot of money on stuff that we won't even use.
Anyway, that's my windy stance on the subject! Hahaha! Do what you want to do! It's a mama's prerogative! xox