A baby shower is a way for friends and family of a mom-to-be to offer some support and give the mother items she'll need to care for herself and the baby. Although it's not required you give favors to your guests at these parties, giving favors is a nice gesture to thank guests for their time and the money they have spent on any gifts. If you give favors, they should have tags.
Babies grow at an incredibly fast rate inside the womb and in the first year of life, which has led to the common saying that kids grow like weeds. If you choose a few seed packets or a potted plant as a favor, you might consider a saying like "Thanks for supporting my little weed," "My little flower and I are glad you came to my shower" or "Thanks for watching my little one grow all these months!"
Candies are common as favors at just about any party. If you give out sweets or items such as lollipop washcloths as favors, connect the sweetness of the favor to the sweetness of having a baby on the favor tags. For example, you could write "A baby is sweet and so are you. Thanks for coming!" or "It's sweet you came to celebrate my little gumdrop!"
If you are religious, incorporate your faith into the favor tags. Appropriate sayings might include "Babies are from God and so are good friends" or "Your presence at my baby shower was a true blessing." The guests at your party likely have an understanding of your religious convictions prior to attending, but if you use this option, remain considerate of other beliefs. For example, if you are Christian and your guests are a mix of Christians, Jews, Buddhists and Rastafarians, a more general saying such as "The Creator has given me a baby and good friends like you, too!" might be better since "the Creator" could be taken as God, Buddha or other deities.
If your tags are small, keep your sayings as simple as possible. Consider having just the name of the baby (if one has been chosen) and the date of the party. If no name has been chosen, use the mother's name with "and baby." Another option is to write "Thanks for the shower." These sayings won't have the "cute" appeal of some other tag sayings, but they remind the guests of when the party was held and do the job of expressing gratitude.