Is it OK to solder the copper feed lines and shower stub to the brass faucet valve body or should I use compression connectors?

It is OK to solder the risers to the valve. But first you want to take it apart and remove everything that would be harmed by the heat. Such as the cartridge and O-rings. Some faucets are complicated so watch how it all comes apart.

I did this three months ago and alls fine, with taking the precautions to remove the cartridge first, as letmetellyou mentioned.