Yes, you can shim the entire wall if you want, but here's another suggestion.
Place shims in the gap between the tub and the wall and screw or nail the tub tightly in place. Then when you place your Durock or other backerboard in place (1/2 inch), it should bring the wall out enough so that you can tile over the lip of the tub. This is the easist way to go for a small gap.
Use bullnose tile where the tile meets the drywall. In case of an extreme mismatch, you can use corner tile if it is available in your tile pattern.
Look at it this way -- it is better to have too much wiggle room in your tub alcove than not enough!