I was overweight and "trying to lose" with both of my pregnancies, and my midwives let me continue to try losing weight. They did exactly what your OB is doing: they had me journal what I was eating and what I was doing (I too walked a TON when I was pregnant, right up to the end).
I think because I was already overweight, it was not an issue to try to continue, as long as I was eating well. They were always happy with my food journals. I honestly don't remember how much I gained with each one (it's been 14 and 9 years), but I do know that it was not a huge amount. Both of my kids were BIG babies: 9lbs 2ozs and 10lbs 3ozs (with NO gestational diabetes either).
You will be fine! And congrats!
~flamanette~
