it's actually not necessary to contact cic UNTIL the baby is born. It may seem harsh, but there's no knowing what will happen during the pregnancy and birth, so unless the child is born CIC really doesn't care about pregnancies. Some people do contact cic about pregnancies because it can help "prove" the validity of the relationship.
Once the baby is born, THEN it's important to notify CIC. If the baby is Canadian (because of the sponsor being able to pass citizenship down), then the baby does not need to be included in the PR application. In this case, all that is necessary to do is get the baby's citizenship certificate, and the baby will be legally Canadian, and be able to enter canada freely. If the baby is NOT canadian (because the sponsor CAN'T pass along citizenship), then the baby MUST be added to the application ASAP. If the approval has already been granted, and all that's left is landing, the visa office MUST be contacted so the application can be adjusted and a new COPR can be issued for the baby.
There are many applicants who go through this, so there will be information on this forum about adding a baby to an application. All it takes is a little research to find the right threads.