M.
Hi T.!
I have had wedding showers and baby showers thrown for me and I have always given the hostesses a token of appreciation. I think it is not only the proper, but the right thing to do. There is a lot of planning and preparation that goes into throwing someone a shower and a gift from the honoree is always nice. It is standard to give the gift to the hostess after the shower is over and the guests have left.
As far as what to give, that totally depends on your friend. I love receiving soy candles, nice soaps for the powder room, monogrammed stationary, etc. A friend of my husband's family threw me a VERY nice bridal brunch/shower and I gave her a nice vase.
Good luck in whatever you decide!
M.