Yep its OK. I spoke to the owner about me going in there with my DD2 when she starts (have just started DD1 there with DH in the water with her) and he said its fine to go in the pool while preg. You aren't in there for a long time (half hour), your not fully submerged in the water hence increasing your core body temperature, and most pools are set to 33deg. Its more sauna's and spa's that are the problem as you are usually fully submerged and still enjoying the heat, it can increase your body temp too much.

One of the instructors there worked till the day before she was due with no problems, and they are in the pool for most of the day.

Cheers,

Beck