What are the steps I can begin while my husband is still in the naturalization process?

Best wishes with your husband's naturalization application process. To prepare for him to sponsor you in a marriage-based adjustment of status application in the Immediate Relative visa category, you should accumulate documentary evidence showing that you and he have been living together in a bona fide marriage. Typically that might include, for example, residential leases or deeds showing both of your names, joint bank account records, joint credit card documents, utility bills in one or both names, insurance documents, tax documents, etc. After your baby is born, the birth certificate showing both parents' name will be important evidence too. Beyond that, since your husband obtained his Permanent Resident status through a prior marriage, it would be wise to accumulate documentary evidence showing that his first marriage was genuine notwithstanding that it ultimately ended in divorce. The USCIS determines the sufficiency of documentary evidence on a case-by-case basis, and of course there are other documents and information needed in the application process. It would be wise for you and your husband to consult with an immigration attorney who, after learning all of the relevant information, could advise about eligibilities, options and strategies to attain your goals, and who then could offer legal representation in the often complex application process.