In the case of the cube, it was shown by Bourgain (very recently) that the constants remain independent of $n$ for all $p>1$. The problem appears to be open for the case of more general centrally symmetric convex bodies. On page 3 of his recent preprint, Bourgain writes:
"While it is reasonable to believe that this statement holds in general, our argument is based on a very explicit analysis which does not immediately carry over to other convex symmetric bodies."
For $p=1$, J. Aldaz has shown that the (weak $L^1$) constant can't be taken independent of $n$ in the case of a cube. The case of the ball is open (this problem was briefly discussed on Gil Kali'sKalai's blog here).