I'm not marrying (ever), but my children have their dad's last name.
If ur taking his last name then the baby should have his last name also if ur not I don't know. But usually baby takes dads last name unless u guys aren't together an u prefer baby to have urs.
If you are engaged, choose the last name that you will be taking when you get married. If you aren't sure what that will be, sorry I can't help :-(