Yes, and he's quoted talking about it in an article in The Smithsonian Magazine [1]:
> While stories have persisted that Shepard sprung this stunt on his own—or smuggled the club head and balls to the lunar surface, he had indeed gotten permission.
> It took him a while, though, to convince Manned Spaceflight Center director Bob Gilruth, who was not keen on the idea.
> “Absolutely no way,” Shepard recalled the initial response.
...
> Shepard explained he’d bring the modified Wilson Staff 6-iron club head and two balls in a tube sock “at no expense to the taxpayer.” And he promised not to even try it if anything on the mission went wrong. For that reason, he waited until the end of their lunar visit.
Edited to add: Of course, later missions had toys built-in - lunar rovers for Apollo 15, 16 and 17. Real-time footage of the complete Apollo 17 mission is at https://apolloinrealtime.org/ and I can't recommend it highly enough :-)
> While stories have persisted that Shepard sprung this stunt on his own—or smuggled the club head and balls to the lunar surface, he had indeed gotten permission.
> It took him a while, though, to convince Manned Spaceflight Center director Bob Gilruth, who was not keen on the idea.
> “Absolutely no way,” Shepard recalled the initial response.
...
> Shepard explained he’d bring the modified Wilson Staff 6-iron club head and two balls in a tube sock “at no expense to the taxpayer.” And he promised not to even try it if anything on the mission went wrong. For that reason, he waited until the end of their lunar visit.
[1] https://www.smithsonianmag.com/smithsonian-institution/when-...
Edited to add: Of course, later missions had toys built-in - lunar rovers for Apollo 15, 16 and 17. Real-time footage of the complete Apollo 17 mission is at https://apolloinrealtime.org/ and I can't recommend it highly enough :-)