You can completely do Slimming World when you are pregnant - I am 38 weeks PG and have been following it all the way through.
I was at my target weight when I fell pregnant and have gained just under 2 stone during this pregnancy which is less than my previous pregnancies. I am also much more confident about eating healthily once the baby is born and not gaining weight because I ate too much when breastfeeding.
SW have worked with the Royal College of Midwives and you have to get the consent of your midwife to go but it really is fantastic.
You get the support of the group to help you eat healthily and the aim is not to "lose" weight but to watch your weight and ensure an adequate weight gain and not an excess one.
You don't get any extra Healthy Extras as they are not needed - the plan is so normal that it is the only group you can be a member of when PG!
You can eat unlimited Fruit, veg, lean meat and poultry, pasta, rice and potatoes. You then have measured amounts of bread, cereal, milk and cheese and limited amounts of choc/gravy/mayo/high calorie stuff.
Give it a go - if you don't like it you've not really lost much as it only costs £9.95 to join and that gives you everything you need on your first week - then the group is £4.95 a week which is the price of 2 coffees!!