How old is he? I imagine they can smell the changes in you, remember their noses are 1000 times more sensitive then ours. I'm a firm believer in taking walks, and I think this is so good for dogs, and gives them a sense of purpose. If the weather is not conducive to this, many home improvement stores allow you to walk the dog through the store, and a tired dog is a happy dog. You could get a stroller and practice before the baby comes, just don't put the dog in it!
Congratulations!