I lost my first pregnancy to a miscarriage last year, and am currently in my second pregnancy now (which seems to be going well so far), which will make me a first time mom.
I'd say talk to your doctor about any concerns you have with exercise and diet. Mine recommended low-impact workouts, so I've temporarily traded in jogging for good old-fashioned walking. She also gave me the greenlight for specific gym equipment.
You'll definitely need to be eating more calories, as now is not the time to be concerned about losing weight! Creating a calorie deficit, by most accounts, is not healthy for the unborn baby. You basically need to maintain your weight while eating enough extra calories for the baby to grow on; you also need to build your placenta and extra blood and other fluids. There are many online calculators that will help you figure out how many daily calories you need, here's one of them: http://www.freedieting.com/tools/pre...calculator.htm
... if anything, it's a great number to start with that you can further discuss with your doctor.
How much you should be gaining is based mainly on your BMI. In my case, I'm still obese so I'm supposed to gain anywhere between 11 and 20 pounds, and I'm in a good place given that I've gained 10 pounds so far and still have three months to go. I'm a bit annoyed that I had to pause my weight loss efforts, but the little one arriving in December will be so totally worth it. I'm looking forward to getting back on the wagon and being an active, healthy mom.
Good luck to you, and take care!