hmmmmm, the first time they met they had sex? Was this before or after he told you about her? If it was before, did he cheat on you? How does that make you feel if that is so?
What happens when the baby comes exactly? What kind of measures are you and he putting in place to make sure you get your needs met, ie. time for yourself in return for him going out with this new woman for instance. It's important that there be a balance created.
what kind of boundaries have you set up? Do you have any? It sounds like he is getting an awful lot out of this yet you don't seem to mind... surprising
It sounds like this is going fine, so excuse me for saying, but it's going oddly right it sounds like. I keep waiting for the other shoe to fall. Maybe I have been on here too long