worming a pregnant mare

There is no special deworming protocol for pregnant mares.  You will deworm them with the same products and at the same intervals as the rest of your horses.  The only change will be to administer an ivermectin product as close to foaling as possible (24 hours is ideal).  Threadworms can be transmitted by milk and all foals populate their gut with bacteria (necessary for digestion) by eating their dams poop.  It's best she isn't sheading larvae that the foal will eat.

When is she due to foal?

There are generally no worries with today's wormers. There are still rumors about toxicity related side effects from wormers containing praziquantel (Zimectrin Gold, Equimax) but there is little evidence to support them, if you are concerned there is no great harm in avoiding these particular wormers.

Parasite control will be most important when the mare is coming to full term and while she is nursing.  Many parasites have a microscopic larval stage where they migrate through the bloodstream and living tissue, and can affect the foal. Keep your mare on a 6 to 8 week worming rotation. 

If she is due in the spring I would use Ivermectin a few weeks before the foaling date.  Reason for this is because of the onchocerca parasite, which migrates through tissues and is spread by midges.  The adult worm embeds in suspensory ligaments and can not be killed.  Onchocerca is also linked to "sweet itch" and blindness.  For more reading, check out this thread:

http://forum.horse.com/tm.aspx?m=18252