I'll be watching this thread with interest!
I've a baby due mid-Nov - and Dd will be 2 and a half at that point.
Your dates suggest you haven't had the second scan yet? The 'penny dropped' for Dd at the second scan. Can't see how she could have made any sense of the smudged image on the screen, but she spontaneously volunteered that there was baby in mummy's tummy, then got very cuddly. Now I've got bigger, there are more opprotunities to ask 'what is in mummys tummy?'.
I've tried pointing out newborns. Not sure she's that impressed - although perhaps at least I'm avoiding the mistake of building up too much expectation - she can see how dull newborns are!
Buying clothes has been limitedly successful. I went to TESCOs. Ended up with a really random selection, but we managed to have a chat about how new brother will be very small, and about how biys wear blue so not good idea to buy him dresses.
I've also picked up a few 'baby' magazines, like Practical Parenting. It gives us pictures to talk about. It also lets me introduce the idea of breast feeding!
I'm considering getting her 'mini me' versions of key baby kit. I found a dolls rocking chair second hand... but think that the proper baby annabel kit is too expensive. Guess with a Ds you probably don't want to buy Baby Anabel either!
I'll let you know in November whether it worked or not!