Sex in the shower or bath is definitely safe, but it's not exactly the most comfortable way to get it on, especially for a woman. The water washes away any natural lubrication she might have, so you'll have to use a lube in a tube.
What about soap, you might ask? Sure it's easy to use, clean, inexpensive, and it happens to be right there, but is it a good idea to lather up your parts before sex? If you've ever tried this, I'm sure you know that answer is no. Soap can seem innocent and gentle enough, but when rubbed on your sensitive membranes, it can cause painful irritation, burning, and redness. Sex plus soap equals ouch.
To find out what to use instead,
Oil-based lubricants are a good choice since they don't wash off easily in water, but if you're using a latex condom, oil-based lubes are out of the question. You can try using a water-based lube if you maneuver your bodies so water isn't gushing down on your parts, but silicone-based lubricants are the best choice for water play, since they don't break down in water and you can use them with all types of condoms. Just so you know, silicone-based lubes are usually more expensive, but if you can't live without lovemaking sessions in the shower, it will be well worth the money!