Congratulations! You sound excited, even if it's a little complicated with the long distance whatnot.
If you want to get married, don't feel that you're just doing because you're pregnant. Like you said, you already wanted to marry him anyway - and to tell you the truth, part of the reason we got married when we did was because of the long distance thing. Sure, we would have gotten married anyway, but we would have preferred to have waited another year... but the desire to be together, and needing to immigrate to do so, trumped our preferences. Life gets in the way. So if you do decide to get married, don't think it's *just because* you're pregnant!
Otherwise, the two of you will just have to figure it out together. Getting a spouse visa isn't too difficult, as I'm sure you've seen on these boards. Good luck!