First off, there is absolutely nothing wrong with shaving in the shower if that is what works for you.
I shave in the shower a couple of times of week, because I sometimes wake up late and am in a hurry to get to work.
I can get really good shaves, REALLY quick and effortlessly in the shower. The only reason I don't shave in there every day is because I like to stand in front of a big mirror and take my time, and I feel shaving in the shower would be a big waste of water if I took the time I do at the sink.
Anyway, when I do shave in the shower, I almost always use my home made Van Der Hagen shave stick. It compliments the convenience perfectly. I let my brush soak in a mug while I'm doing all my shower stuff. When I'm ready to shave, I take the shave stick and rub my face all over, then take the brush, swirl, the take the razor and bam!
When I'm done, I turn the water off the shower head and let it run through the lower faucet. I then turn it to cold rinse my face right there. This way all I have to do when I step out of the shower is gently dry my face, apply aftershave, and leave. It's a good deal.