it actually helps with labour makes labour so much more easier
As long as you are healthy and are not in a high risk pregnancy you should be able to continue having sex throughout the pregnancy. A lot of that depends on you, however, and how comfortable you would be with it. Some find it uncomfortable, especially as they get further in to their pregnancies, mainly because of the pressure on their bellies,etc., so different positions might be more comfortable than others.
You don't need to worry about the baby, though. It's well protected deep inside your womb and it won't hurt the baby. :)