my suggestion, is to let them know as early as possible. You don't want to burn a bridge with your employer, you may need their reference someday...
EDIT NOTE: under COBRA i believe you can pay for the insurance for up to 18 months. though, be prepared for a big shocker. Also, are you going on your husband's policy? I guess i'm not understanding what you plan to do for insurance afterwards. Check with his HR dept to see what the requirements are - you'll likely need a evidence of insurability from your current insurance.
And then as far as how to handle it... well, I got laid off from my job when i was 5 mo. preg. with my 3rd. But I had planned to tell them, that I just dont make enough money to put 3 kids in daycare and maintain a cost effective budget for my family, which was the truth. I would suggest telling them the truth... when you plan to return to work, your new employer may call your old employer and ask some questions... they would be perfectly in line to ask your reason for leaving... if it doesn't match what you've told them, then you may lie your way out of a job. stick with the truth and you won't have to worry about being caught in a lie later on.