Speaking as a person from an extended family whose religion is different from my own, I think you have to decide whether you want to bring out into the forefront the fact that you have "strayed from the faith". In my case, my family is Catholic and I'm Protestant. Our cases are similar; Catholics don't believe anyone is going to heaven unless they are Catholic (since they don't confess, don't take the Eucharist, etc) so in the eyes of my parents I am close to being an atheist.
Last Christmas, my parents gave us Catholic bibles. I understand their motivation; they are trying to save our souls. I try to show them the same tolerance that I would want for myself, and just smile as I receive their gifts. I could have made a fuss, but what would that have accomplished? They are well aware of my choices, but they keep hoping I'll change my mind and this is the only thing they can think of to do it without starting up a big fight. Maybe if you give in to them in little ways you'll give them an outlet so things don't spill over in big ways (this has worked for us).
Does your family know you are atheist? If so, blatantly telling them you don't want their crosses or Bibles or whatever you are anticipating they might give you, will at the very least make them feel rejected. If they don't know, is the firestorm that might result worth the dubious benefit of maybe getting something you want more? This is something you need to decide how you want to deal with now, as it won't go away after the baby shower. There is Christmas (assuming that you celebrate it), your child's birthdays, etc.
Ask yourself; what is my goal? To get better stuff? To get them to accept my choice? The first is possibly attainable, but at a cost. The second, not so much. Saying that you are doing it so that they don't "waste money" is kind of a dodge; they're going to be spending the money no matter what they get. If you want better stuff there's no great shame in that; "own" your own motivations and you'll be more comfortable with your choices.
When we adopted my daughter, we gave her the middle name "Maria" because we knew it would make my parents happy. It is a family tradition to give middle names after a child's "patron saint". My Dad's middle name is Maria (pronounced MAR-ee-a) and my sister's also (pronounced Mar-EE-a). Do we believe that the mother of God is especially watching our daughter because she is her "patron saint". No. But it makes my parents happy to think so. Same thing with the icon they brought back from Italy; it sits over our daughter's bed. It was a present from Grandma. I don't worry that she's going to "turn Catholic" because I put a picture up over her bed. And I know how happy it makes my mother to see it when she comes over, as she feels that the picture somehow protects my daughter. Why would I want to deny her that just to prove some kind of theological point?
Does it make you upset that they might think there's still a chance that they can save your soul? Then maybe you might want to think about whether you are really secure in your choice. If it doesn't upset you, then why deny your family the comfort of thinking that you are still redeemable? If I had parents who were atheists and they gave me a book about atheism as a gift I would probably roll my eyes in private but be gracious toward them, if I felt they genuinely had my best interests at heart. Now, if they were pushy about it, trying to intimidate me into their point of view I'd be more inclined to be upset...but that's a problem a lot bigger than "what gifts am I going to get at this baby shower?"