I know there are a bunch of people who would like to feel more comfortable peeing in their bed or in their diaper. Here's how to start: You (yes YOU) are allowed to pee in your shower.
Of all the places you could pee, it's the best choice. Your clothes are out of the way, there's a drain right where it needs to be, and the shower head will be rinsing everything off regardless. If you're concerned about peeing in other people's showers, just go pee before you get in so there isn't any pee left in you, but don't let yourself feel inhibited. I figure even those people who are pee-shy might have a very easy time peeing in the shower, since in most cases showers are individual and private.
So here's the challenge: Train your body that it is perfectly okay, natural, convenient, and preferable to pee in the shower. If you accept this challenge, start today. Just do it.
Eventually, your brain will get conditioned to it, and you'll feel that peculiar almost-there sensation that you already do when you're walking up to a urinal or you're taking your pants down to sit on a toilet. Reinforce your conditioning! Let your body start to pee, since that's what you've been training it to do. Don't hold it in! It's possible, just like sitting on a toilet and holding your pee is possible, but it's strangely uncomfortable. You'll really be surprised by how much you'll feel like you want and need to pee.
And once you're convinced that your body will pee wherever you are allowed to pee, simply feel free to allow yourself to pee at the times and places you wish to. Have fun with it! :-)