When I went to see my midwife saturday she said how important excercise was and advised pilates, yoga and aqua natal classes and she just said to check with them before that excercises are suitable for pregnant women, she said most instructors will advise when to sit out.
She just stressed how important it is not to lie flat on your back as the weight of your uterus plus baby puts pressure on a main vessel.
I would say go for it xx