Congrats,
No, you don't have to declare pregnancy, only the birth of a new child. However please remember that as long as you are a PR (and not a citizen), your baby cannot become a Canadian migrant automatically if born outside Canada. You will have to then initiate sponsorship application for the baby after birth, or you will have to delay your own landing (if visa expiry allows) and get the baby on your current immigration application.
However if the baby is born inside Canada (even on a visit visa), the baby automatically becomes a Canadian citizen.
As you have mentioned your wife is only 2 months pregnent, this is a safe time to travel for her and as all the other members have advised, it is better to complete your landing (no later then 6 month of pregnancy, after that travel becomes difficult) and give birth in Canada.
Regards,