I'd also watch carefully to make sure you don't overheat. As far as what you can do physically, I would go with what your body feels comfortable with. For example, I had two close friends who were pregnant at the same time, due within a month of each other, and they both were horse trainers. One had to quit by 4 months because it physically hurt her. The other was riding up until she delivered.

Otherwise, I would talk to another ob/gyn. I've heard numerous different recommendations, but from my understanding the main thing is to remain aerobic (which the threshold will lower during pregnancy I believe) and to stay cool. I hope you can find the answers you want.