It doesn't matter how normal it is to have sex while pregnant, most people don't do it for fear of hurting baby. They also think that it may lead to some health problems on baby and delay it.
At the begining of the pregnancy
You must consider your partners wishes and her health before deciding to have sex during pregnancy. With the hormonal changes in the first months of the pregnancy, women desire sex much more than they used to. Or it can be vice versa. That's just the effect of pregnancy.
During pregnancy

After the first 3 months the sexual life of a pregnant woman starts to turn to normal. But it may be difficult for the woman to have sex in the last months of the pregnancy because of physical changes.
Listen to your doctor's advice
Don't hesitate to talk about your sex life with your doctor. Ask what's good for both your baby and for you. And consider what your doctor told you while having sex.
Unless your doctor tells you the opposite, you can have sex during pregnancy. You don't have to give a break to it. You can have it as long as you feel comfortable doing it. It's all up to you.
Your baby won't know that you are having sex
Most people are afraif of hurting the baby or they think that it wil effect baby in future psychologically. But don't worry, penis won't hurt your baby. It is protected in your uterus.
Choose the most comfortable position

You may feel all comfortable at the beginning of your pregnancy but it may not be that comfortable later on. So choose the position that you feel most comfortable. It is said that most women feel comfortable doing it in spoon position. But it is all up to you. Find the position that you feel the most comfortable and have fun.
Have safe sex
This time to protect the baby from getting ill. Your partner may have some minor infection and this may effect your baby in an negative way.
Also keep away from the procuts that consists of chemicals for the sake of your baby.
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