My boss at the YMCA continued teaching step classes into her 3rd trimester... she was doing very little in the way of modifications because she felt comfortable with the 6" step and power moves almost to the end.
I think that everyone who has responded is right on target -- LISTEN TO YOUR BODY! If you feel off balance, or if you are experiencing lower back or hip flexor pain, then it is probably time to take it down. Also, don't feel defeated if you need to make modifications (even though you may not need to)... remember that you ARE doing more work because your built in "weight plate" is increasing every week!
You definitely should be paying more attention to your warm up... spend more time stretching out your hip flexors before and after the workout... this is an area that is more easily injured during pregnancy, and you work your hip flexors quite a bit more during a step workout than you would if you were on the floor. Also, back stretches are important -- my prenatal moms are always amazed at how good the stretches feel after even a low impact routine... you don't realize how impacted your lower back becomes until you stretch it out again!
As far as jumping is concerned, my first thought is the pressure you are putting on your pelvic floor. If you are experiencing any kind of stress incontinence (and nearly 60% of pregnant women do), whether it is leakage during exercise or whether you experience it when you sneeze or cough, I'd take out the jumps entirely. Otherwise, you may have a much tougher time rehabilitating those pelvic floor muscles postpartum.
I think the key with prenatal exercise is to always have another workout in mind in the event that you become suddenly uncomfortable doing what you are used to. Like, in addition to teaching prenatal/postpartum classes, I still did some light jogging in my first trimester, did the elliptical trainer and occasional step classes through my 2nd trimester, and switched from the cardio machines to swimming in mid-3rd trimester. With my first pregnancy, I felt extra energetic after exercising all the way up to the end (my last exercise class was the day before my due date, and Aaron was born about 36 hrs. later)... with this one, the baby is very low, and I feel tired and achy in these last weeks (I end up napping nearly every day), and I now have uncomfortable braxton-hicks even when I swim laps. So, I am 38 1/2 weeks now, and I've surrendered most of my exercise routine for now (except for kegels and abs at home). I feel like my body will still benefit from what I was doing through 37 weeks of my pregnancy!
Susan Hyde
Healthy Moms Certified Perinatal Fitness Instructor