Baby Shower Across the Country

Ashley • Will be meeting our first in August 2015!!!
So there's enough time to plan and prep but I was wondering, when are you supposed to have a baby shower? My entire family is across the country (NYC) and the idea of getting them all over here (AZ) just isn't plausible. It seems like it would be easier for my husband and I to go back there for a bit. But I don't know how far along I'm supposed to be when you have a shower and/or how to get there when I'm that far along. Isn't flying a no go? Thoughts?