It is up to you if you want to shear them. There are lots of reasons for shearing before lambing. It is a good time to give the ewe her yearly vaccinations, some of which will carry on and give the lamb a little more immunity from birth. Shearing decreases instances of eye infections in newborn lambs and helps lamb survivability since they don't have to fight their way through the wool to find where to nurse and they get to their first drink of colostrum more quickly with less effort. With all the wool out of the way a producer can more easily evaluate the ewe's condition and has the opportunity to sort off any thinner ewes so they can be fed accordingly to keep them healthy through the end of their pregnancy. Shorn ewes also take up less space in a barn, and it is easier to see who is getting ready to lamb so producers who like to lamb ewes in separate lambing pens can easily see which ewes needs to be penned.
On the down side, shearing late in gestation risks harming the unborn lamb if the ewe isn't handled carefully, rough handling or stress may trigger early labor or abortions in some ewes, and there is a risk of loss due to exposure if you live where it is cold/snows and you don't have enough barn space to keep them dry.
If you are concerned about leaving them naked in the cold you can always just shear their back end and underline, which is called crutching. This way the ewe gets to keep her winter coat and it won't hinder her new lamb.