How dangerous is having a baby if I have thyroid disease?

Pregnant. Not "dangerous" at all as long as your levels are well controlled. In rare instances the antibodies causing your thyroid problem can cross the placenta and affect baby once born. See an endocrinologist for yourself and a pediatric endo for baby.
Thyroid disease. If your problem is hypothyroidism or low levels of thyroid hormone, taking thyroid hormone supplements to normalize your thyroid hormone level will even increase your chances of getting pregnant. If you have a hyperthyroid condition, treatment usually involve medications to "shut" thyroid activity. Medicines used for this purpose can affect the baby adversely.