I'm no where near 36 weeks pregnant but I thought I'd help.
The no.1 thing that makes me feel sexy is for DH to tell me I look/am sexy but there are other things that help me feel sexy without him having to say anything.
1. soft, beautiful fabric in the form of pretty lingerie. There are lots of textures out there to fit every one's tastes. I prefer thin jersey cotton with lace or the tried and true satin. Personally my sense of touch is very important to me for intimacy so maybe that's why that helps.
2. red lipstick. I don't know why but it makes me feel fantastic! DH is not a fan of lipstick, understandably because lipstick tastes gross, so I found this awesome tinted lip balm by alba botanica called terra tints. it mostly tastes like peppermint chap stick (think burt's bees) plus it keeps your lips protected and soft. Unfortunately just like lipstick it still gets all over the place but in a moment of passion that can be sexy too
3. mood music. For me it's music from the 1930's-1940's jazz and big band era
4. getting clean. Taking a long hot bath or shower makes me feel fresh and warm and soft and relaxed. Sometimes I am so relaxed or even tired from a shower that I need to rest for a bit first but afterwards, all the cleanliness and sense of pride in my appearance can make me feel frisky. Baths, especially with floral bath salts, are definitely great for feeling sexy!
5. staying away from the mirror. The mirror is not your enemy per sey, but too much time in front of it can lead to self doubt and self criticism.
I hope that helps. I feel like I shared some very personal details, but I feel it is for a good cause too!