35 y/o with dermoid ovarian cyst 3.9cm. Is is safe to get pregnant with clomid (clomiphene) and having the cyst? Or should I remove the cyst before pregnancy?

See your Doctor. Dermoids can rupture if they grow and can undergo torsion (twisting cutting off the blood supply). Both would require surgery which you do not want to have to go through if you are pregnant. See your doctor for evaluation and discuss whether this should be removed soon.