Congratulations! What lovely news.
I'm not sure if this will help, but a present I have bought for a baby to keep has been a copy of Peter and the Wolf, with the Young Person's Guide to the Orchestra. There is a really good recording with David Bowie doing the voiceover. Over the years, I have bought it on record, tape and CD, but these days, I'm not sure what format would be sensible, as I know that my children stream all their music now.
Otherwise it's difficult, as obviously you don't know what the baby will grow up to be, or where their interests will lie. What about a bottle of port to 'lay down' for when they reach 18 or 21? Or a set of classic books, such as Beatrix Potter stories? My husband still has a Peter Rabbit cup, saucer and plate that he was given as a baby - I don't know if Wedgewood still make them, but it's worth a try if you like that sort of thing?