Kendra Wilkinson's Baby Shower

It was a Girls Next Door reunion on Wednesday (September 9) for Holly Madison and Bridget Marquardt, who treated their pregnant pal Kendra Wilkinson to a baby shower held at Hugh Hefner's longtime secretary Mary O'Connor's home just outside of Los Angeles.

"Kendra was really excited about the shower. It wasn't a surprise or anything so she was really looking forward to it," PEOPLE reports. "She was so happy."

Wilkinson, 24, the star of the Girls spin-off Kendra, is in town from her new East Coast home. A source says she was "so excited" to see her old friends. "It was just so nice for her to have everyone in the same place. They had a lot of fun."

Madison and Marquardt arrived early in the afternoon to set up the decorations in honor of the baby boy on the way, Hank Baskett IV. The girls packed the house with plenty of sweet treats – multicolored lollipops, taffy candy, cupcakes and blue "It's a Boy" banners.

Wilkinson and her husband, Philadelphia Eagles football wide receiver Hank Baskett, were married in June and are expecting their first child on Christmas Day.