I exercised all through my pregnancy - stopped going to the gym round 24 wks because I was worried about my placenta being low lying but continued to walk 3 miles a day right to the bitter end. I don't know that it made any difference to my labour (went 10days over, induction failed and ended up having an emergency C Section) but it seems to have made my recovery much easier, I've had no pain following the section and was mobile v quickly after the surgery, to the extent that all the midwives and physio commented on it.
IMO the exercise will pay off for you and I'd keep at it as long as you feel able, it certainly can't do any harm