It depends on how bad they are! And of course its totally up to you, I'm not sure if they will do much. I've got them too and I was at the doctors today, he didnt really say anything. I'm pretty sure they clear up on their own after you give birth.. and most creams/ointments are ok to use during pregnancy to help ease discomfort!
There are just over the counter meds you can get at the pharmacy (always easy, you can get them 'for your husband') however, I know for a fact that with thrush (the itch on the other side entrance) a pregnant woman is not allowed all the meds, some are off limits. So to be honest, I'd go to the doctor to get safe help.
It's really nothing to be embarrassed about. It's VERY common in pregnant women and the doctor will have heard/seen it all before anyway. I'd say make an appointment and put yourself out of your misery!
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