Do I need to consult with my doctor if I want to work out while I am pregnant?

Yes. It doesn't hurt to let your doctor know what type of exercising you want to participate in. Remember to stay hydrated; not get over heated; and keep your heart rate at 140 BPM or below. I recommend low impact activities.
Yes. It would be advisable to let your doctor know so they can guide you about what exercise at what stage of pregnancy.