32 weeks pregnant and have uti. Taking Macrobid (nitrofuratin) this is 3rd round of Macrobid during pregnancy. Can this hurt baby?

Can in later preg. Macrobid is generally considered safe in pregnancy but may cause hemolytic anemia in your baby after 38 weeks.
I would first try D-Mannose, which is 100% safe for you and your baby and works as well as antibiotics for 90% of UTI's, in fact I would take it regularly as a preventive until you deliver.
See http://tahomaclinic.com/2018/03/history-of-the-d-mannose-bladder-infection-cure/ .