Yes, you may still be married in the church even if you co-habitate with someone and even if you have sex before marriage and even if you are pregnant. However, it has been my experience that priests typically ask the couple to live in separate places prior to the wedding day, abstain from sexual relations, and go to confession for these things. Have you talked with your parish priest about any of this? Have you been required to go through preparation classes for your upcoming marriage?
Do you know why the Church asks people not to live together and have sex before marriage?