FIL entering house without knocking

[eml71]

My husband and I live near his parents. His father is quite involved in our life, and has a key to our house. He used to do the nursery run when I was working and now just pops by occasionally when he wants to say hello. The problem is that he doesn't wait for for me to get to the door. He either knocks or doesn't, but always gets his keys and comes in before I have gotten to the door. I'm pregnant and given the heat, I'm sometimes in clothes I don't want to caught in by folks coming in unannounced. :> But generally, it's just a boundaries thing and I'd be really happier if he just didn't walk in.
For some background, my husband's parents divorced when he was little and he lived with his Dad and was raised by him. MIL is civil/friendly with us, but still not very involved in our lives. We see her occasionally for holidays and one off visits every few months, but it's a 'distant' relationship.
FIL is really involved and helpful but also a bit annoying at times and a bit bossy to me about how I should do things; i.e. feed my daughter more protein, etc etc. My own parents are abroad and are not involved at all, so we are very appreciative of the help we get from FIL.
Because FIL is good with my daughter and husband, and means well, I try and bite my tongue.
Is there a nicer way to set boundaries? In some ways maybe he's in the MIL role, and I should try and respect that.
Any tips for setting limits kindly would be appreciated.

From the other side, both my parents and PIL have back doors that they leave unlocked. We might knock on the door before we let ourselves in, but generally we just walk in and call out hello.
We also have keys to both houses.
At our house the DC have always answered the door before I get there, parents/PIL would use their keys but the door is complicated and it takes them ages to do the door so they ring the bell instead.
It doesn't seem strange to me, generally people are dressed, although not always in clothes you would want to be seen in.

I think he is being rude but he doesn't realise it

you actually COULD have just been in the shower, or be ironing what you are going to wear while still in your undies like I do

We've both got keys to MILs house and tend to just walk in and give her a shout (walk straight into openplan kitchen/living room). She doesn't have a bell on the back door or a knocker and the front door is just for postman/people who don't know to use the back door. I've never really thought about whether it upsets her....

OTOH is really annoys me when she just walks into our house (she does usually ring bell first), so I just lock the door and leave the key in it and make some excuse about being out the back and being worried about burglars.

My FIL did this to me once, we have downstairs bathroom next to the kitchen I had come in from work, stripped off and bunged all my clothing in the washing and was about to dive in the shower.

I managed to quickly whip into the bathroom before he saw anything but my butt, I made him go upstairs and get me a dressing gown before i came out of the bathroom. He has never ever ever done it since!