Jane962, I would buy an organic cold-pressed oil (e.g. sweet almond, macadamia, jojoba, coconut oil) from the health food store. You can add a drop of an organic aromatherapy essential oil to the carrier oil, but you will have to research which ones are safe during pregnancy. By using an oil, you avoid preservatives such as phenoxyethanol. You could also use raw unrefined shea butter from online DIY skin care stores.
There are some natural skin care brands making products with a safer preservative from leuconostoc/radish root ferment filtrate: People for Plants Ginkgo, Coconut, Shea Ultra Rich Body Cream; Eco Tan Certified Organic Coconut Body Milk; and Vanessa Megan Cocoa Coconut Body Cream. Vanessa Megan makes other products for pregnancy and baby, and most products are certified organic and contain 1% dilution of essential oils.
Other good natural body moisturers are A’kin Lavender & Geranium Body Moisturiser; Billie Goat Soap All Over Body Moisturiser; GAIA Skin + Body Care Body Moisturiser and Pregnancy Belly Butter. These include phenoxyethanol which may/may not be a concern for you.