Location, Location, Location
Where you have sex is usually not of great importance, as far as your chances for conception go. You and your partner should have an open sex life that can include varied locations for having sex. A bit of spontaneity and spice is a desirable aspect of your relationship. Having a baby or trying to have a baby should not change this attitude.
While having sex in your bed often makes life easier, it can also be helpful when trying to get pregnant. Not only is it the perfect spot for you to lie down after you've had intercourse but it's a great place for you to assume many different positions without getting hurt. Think of it as padding!
That said, there are actually a few places where having sex can decrease your chances of getting pregnant.
Having sex in a swimming pool can decrease your fertility for a couple of reasons. First of all it allows the semen to seep out of your body. Also the chlorine in the water can have a detrimental effect on your husband's sperm count. Chlorine kills sperm.
Using the hot tub or sauna while having sex is also not a great idea. The heat in the area can overheat his testicles making it less likely to have live and active sperm emitted during intercourse.
So while it's great to be playful and frisky, beware of the things that may be working against you. Strike while the mood takes you. Just be careful you don't drown your chances of conception in the process.