When they are real celebrities they arrive on board last, and escorted, or with a company agent. In some cases I've even had someone arrive not from the gate but on the tarmac with a police escort. I also had in a few occasions the person with his/her group book the whole First Class for privacy.
In other cases I've realised I had someone famous on board because I checked the PIL. Sometimes they don't look at all in real life like in movies or pictures...