Oops, just noticed the OP was specifically asking about shipping information. Personally, I generally use the session since if for any reason the CF server gets rebooted and it gets lost, the user is going to need to start the checkout process over again regardless. I do save their address information to a temp table, again, so it is available if I want to view that information on the merchant end, but otherwise I don't tend to use something like client scope for things like this that I don't need to persist for any length of time. But either will certainly work fine.
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