I don't mean to scaremonger, but numerous studies have linked volatile chemicals in hair dyes and nail varnishes etc to increased respiratory and toxicity problems in the newborn.
Its not as though the colour continues to be harmful for days - it is only the period of time that you are being exposed to breathing in the volatile chemicals (when they are being applied, drying etc). We are told to avoid painting or going near renovated homes for this reason.
If you are going to do it - go for highlights, rather than a full head colour, so the colour can be applied without touching the scalp, and do it in a well ventilated area- preferably outside or next to an open door or window.
Henna colours, or ammonia and rescorcinol-free hair dyes available from health food stores are probably good alternatives to consider whilst you are preg. NaturStyle is a common brand to look out for, or you can google tints of nature.

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