Thanks everyone for your answers, feel a bit more reassured now!
It has been a while since we told them, my mum I think is now ok with it, although I don't really discuss much about it with her. She did give us "What to Expect when you're expecting" for Christmas, although oddly it was only from her, not from her and dad... but it was still very lovely of her. We also had a bit of a chat about it (morning sickness etc) while we were up there over christmas.

My dad I still don't know...I really haven't talked to him much at all, basically just said "hi & bye" while we were up there, and spoke to him on the phone once since we've been back home, which was just the typical "what have you been up to, what's the weather like" conversation.

Haven't discussed what is going to happen when the baby is born, but I'm sure mum at least would come down for a little while. Things for the moment seem stable, so hopefully will remain that way. But it's a good lesson for us for when our kids are old enough to start having children, so I guess I can thank them for that!