Purchase cotton flannel from a fabric store that is in the theme or colors of the shower. It can be done with lighter fabric, but is a bit more difficult. Cut it in to squares of 6½" x 6½". Cut these diagonal down the center (corner to corner) to form two identical triangles. Place one triangle so that it is facing towards you and the long end is on the far side. Fold up the point so that is about 1" from the top. Bring in the two remaining sides so that the three parts overlap in the middle. Secure this with a safety pin. Be sure not to have it pulled tight, leave a slack so that it can hold nuts.
Heat paraffin wax in a double boiler over low-medium heat. Note: For your safety, do not heat wax in anything but double boiler. Of course do not touch any of these hot items directly, do not leave stove unattended, and do not let children do this without proper adult supervision. Once the wax is melted, insert tongs in to the diapers you made. Now spread the tongs and dip the diaper into the wax. The tongs keep the diaper open and keep you a safe distance from the wax. Do not ever leave the diaper in the wax without the tongs. After the diaper is coated, lift the tongs out of the wax holding the diaper just above the wax level for a moment to allow excess wax to drip off. Place the diaper on wax paper to cool. After approximately 5-10 seconds, shape the diaper with your fingers if needed. The shaping is minimal, just to make sure the cup stays open. Line with a napkin and fill with nuts or mints for the shower.
Note: If you don't have a double boiler, almost the same effect can be achieved by dipping the diapers (still with tongs inserted) into fabric stiffener. This may take longer to set and it may be necessary to put a rolled up ball of wax paper in the diaper to help it keep its shape.