Too early or not... I really don't know.
I'm half Canadian/half Spanish, married to a half Canadian/half English gentleman. Both my husband and I grew up mostly in Canada and we agreed to give birth there. Our all-Canadian friends (most of whom have already had several children of their own) wanted to throw a baby shower for me (and the baby) when I was about 26 weeks pregnant. My Spanish mom and my English mom-in-law were "terrified". According to these two 60-something European ladies, you don't have the shower prior to the baby has been born. You "jinx" it that way. "What if...?" was the phrase the both of them consistently asked me... Yes, it sounds very negative, but I've learnt to live with my mom's proud heritage and tradition.
I told my friends about the concern, and they said "Well...". A friend who is teaching Folklore in a local university enlightened me by saying that traditionally it really was the way my moms said. But that was because the rate of survival at birth was much lower back then. Nowadays, in Canada at least, the shower for the FIRST baby is normally thrown when the mother is about 30-32 weeks pregnant. That way, she 1) knows exactly what she gets and what she has to buy, and 2) is not too clumsy to have fun and moblie enough to go shopping for more necessities. For the subsequent children, the party is normally thown after the baby has been born, assuming that the parents have already had most of the stuff from the first baby.
We had ours after Junior (our first baby) was born. We have already had a lot of hand-me-downs from cousins so we decided to follow the tradition. But lately I have been invited to baby showers where the expectant mothers were anywhere between 23 and 39 weeks. I think now it's more the matter of convenience.
Whenever you have it, do have fun. Don't think too much.