What do I need to know about heat exposure in pregnancy?

Common sense. Always follow common sense, especially when pregnant. It is recommended to avoid the extremes of heat and cold when pregnant as you want to protect the growing baby inside you as best as you can as a mother. Good luck.
Don't cook the egg. The bottom line is no hot tub hotter than body temperature, and don't elevate your core temperature. So no hot yoga, etc. The data is on fever, where we know elevated temperatures in the mom at certain gestational ages causes problems in the baby. To be safe, give up the hot, hot things until after the pregnancy. Most of us are hot enough from the hormonal changes to not want more heat.