common sense precautions if you want to dye when pregnant - don't use in the first trimester (fetus is smaller and at greater risk from possible toxins)
Buy the brand with the shortest application time, ventilate the bathroom while you're doing it, leave longer between touch ups so theres less exposure. Maybe just touch up roots if you're not too "gray".
For those of us who want to avoid chemical dyes but have lots of have gray (and don't want to look like baby's granny while in hospital), there is Henna (must be natural pure Henna or what's the point!) Lush sell it in 3 colours (very, very red, red and brown. I think there may be a black one too). Washes out in about 2 weeks, so it's fun to experiment with the colours (I use half brown, half red and that gives a lovely rich chestnuty brown/red), and it covers almost all grey.
Use a cheese grater to up a square or 2, hot water to make a sloppy (not runny) paste, apply to dry hair, tie an old Tesco bag over it and watch telly for an hour or so then shower off. Tricky the first couple of times, but then so is the chemical the chemical stuff. Don't get the paste on pale colored towels, clothes or skin! Wash off skin within 15 mins or it may stain you!