J. - Congrats on your upcoming addition. I was very sick during my pregnancy, and could not hold or play with my older daughter for much of my pregnancy. When she came up and wanted me to hold her, I would squat down, tell her I loved her very much, but mommy didn't feel good and couldn't pick her up. I didn't give her any leeway - just no in a kind and gentle way. At home it was easy - if she wanted to cuddle I would sit down and cuddle. Away from the house it was harder when strangers were involved, but typically if I changed her focus, she would be fine. For example, at church someone would come up and she'd want to be held. If I started talking about her, she would get attention that way and didn't need the holding. I agree 100% with the other mom who said don't stay it is because of the baby - my daughter was old enough to figure it out, but I think it helped that I didn't "blame" the baby.
Good luck...and enjoy yourself!!