I saw this on the Today Show this morning. Since I gave birth at 36 weeks, with son #2 after being in premature labor from week 30 on, I was a little skeptical. And I was at the gym the day before the premature labor started. While it certainly was not caused by exercise, you never know. I had a bike accident the week before, when the down tube shifter went into my stomach, and that was most likely the cause. I should not have been riding. And, I had son #1 at 38 weeks, so I most definitely did not fee like running at week 36.
Everyone is different, but even I think you should err on the side of caution.