I don't think going to the gym or exercising is bad for you if you are trying to get pregnant. In my case I used to spend 3 hours a day in the gym before I got pregnant as I was a wee bit overweight (hahaha). It did help me and in fact I'm just waiting for my baby to come out in this big wide world. Be mindful of any changes on your body though. I thought I was sick and missed a couple of sessions in the gym then I found out I was 8 weeks pregnant so goodluck and hope to hear some good news about you being pregnant. Take Care and all the best :-)