There is no wrong way to say thank you. When it comes to sending baby shower thank you cards, it's best to get all the cards written and sent before the baby actually arrives – who knows when you'll have free time again?!
As for what to say in a thank you card, it is best to write from your heart. Also, it can be helpful to acknowledge the specific gift that was given and describe how you intend to use it with your baby. For instance, if someone gets you a great baby book, mention that you love the book and can't wait to read it to your little one. Or, if it's an adorable onesie, tell the person you'll text or email them a picture of the baby wearing it. It's also thoughtful to thank them for attending your shower in the first place, especially if they've come from far away.
As a final note, you might mention that you appreciate their friendship and support now and over the years. Chances are, you'll be in need of your friend's and family's assistance more than ever once your baby arrives!