If you haven't practiced yoga, definitely start with a class rather than a DVD. A good instructor can make a world of difference in making sure you're doing the poses correctly. If it's something you plan on doing, I agree with 17:25 that starting earlier might be better, before you're really big and uncomfortable. As she said, you'll get a good foundation and that will help with doing it later in pregnancy.
I don't think you'll be completely out of place at all. So many women start yoga when pregnant. Heck, I've been to advanced flow classes and there are newbies there; no one bats an eyelash. With a good instructor, yoga classes offer a welcoming, supportive community for everyone.
I haven't been to Tranquil Space in years (we're in the 'burbs now), but it's a good, venerable yoga studio. I always liked their classes, just don't live close to them any more.
Good luck!