They don't usually do it while you are pregnant and offer/ask at your 6/8wk post natal check.

I wouldn't be embarassed about it, as in not having them done. My OB was telling me she has two patients who have to have a general anaesthetic to have them done.

I have had them done since I was 18yrs old and every 2yrs. It's one of those things before kids you really have to make yourself go, after kids it doesn't seem so bad
I had one done only a couple of weeks before I conceived my now 2mth old and the Dr routinely did a chlamydia swab as well as he explained a lot of women had it without realising as they didn't have any symptoms. Apparently this is quite common these days.

As Mummato2 said..talk to your OB, GP or MW next time you see them.