Personally I would let our families know our expectations and they would have to respect that. I wouldn't say it rudely but just get your point across. I went to a baby shower once and the newborn was out and about. I want a fan of it just because the baby was recently born and just the thought of everything around the baby. Too many people, germs, noisy, weather. Just everything. Now with a premie I would be more concerned. Just remember you are the parent at the end of the day and the voice for your baby :)
Just remember honey this is your baby. Everyone needs to expect your rules and expectations. Just be very vocal and let everyone know. No one will be offended and if they are than that is their problem. You have the babies best interest at heart. On the other hand. I don't think it would be fair to your guests to bring the baby to your baby shower and not let them near her. So I wouldn't take her, if you have a few friends that you want to invite over discreetly to your house after than I would do that. But bringing her to people who are celebrating and giving you gifts it's going to be much harder situation to control
My son was born at 34 weeks, we stayed at home for the first six weeks. Everyone was told when they came over to go wash their hands. Only very close family and friends came to the house the first six weeks. I wouldn't take the baby around a bunch of people, kids, outside, etc. Not for a little while at least.
my daughter was born at 34 weeks so I completely know where your coming from. I bought 3 things of hand sanitizer and put one right by the door when you walk in by her bassinet etc, for the first month we only let the grandparents , aunts hold her... no kids. Its more important to keep germs away so she dosent get sick then worry about hurting peoples feelings. Most people understand and respect it . Congratulations and good luck!