I don't think you're supposed to use icyhot while pregnant. Definitely ask your doctor, though.
I know that this is going to sound a little crazy but if you want something cold and then hot, get you a pair of long crew to knee socks and in one of them put 2 pounds of regular rice in it and tie it in a know and put it in the freezer and in the other one put 2 pounds of regular rice in it and tie it in a knot and put it in the microwave for 2-3 minutes and it will make a moist heat and it will last for about 30-45 minutes and it really helps. and with the rice you can mold it to the shape you need it. I hope this helps you.