If you're doing it for bonding purposes I wouldn't attempt this more than once.
I attempted this three times, once with each one of my children. I tried the shower, but got scared when the soap made it too slippery to hold the baby. So I decided to lay in the bathtub with the baby. I did not attempt it ever again, for good reasons. The soap does make things slippery and porcelain from bathtubs is very lethal.
If you're showering with your newborn, you should never do this alone. I recommend your husband to be there, or someone you really trust. Even with that, I recommend the bathtub best; with about 8 inches of water. Lay the baby on your chest, and slowly start to bathe him/her. Follow the order that you usually do, or the way you were instructed, whichever works best for you.
I should also add, forget about bathing yourself as long as you're holding your baby; that wont be happening! In that case your husband can help bathe you, or he can take the baby. Good luck, I recommend a book called "What to expect the first year" this is their website: http://www.whattoexpect.com/first-year/landing-page.aspx