Even though I'm sure you've considered this, it's worthwhile pointing out that you are opening yourself up to some degree of prejudice by making such a disclosure. Now, I would hope that all of the NSERC and university-level reviewers would be above such actions, but even the best of people may be influenced by such a disclosure, whether they realise it or not. It just contributes to their overall impression of you, and there's no way to know whether that contribution will be positive or negative.
Personally, I wouldn't mention it, but then again I'm not the world's most trusting guy, especially when tens of thousands of dollars are on the line.
Edit: Never mind about the money part, I was thinking of NSERC applications (or in your case, SSHRC), as that's what I've been working on for months now haha.