I have had two different episodes where I was hospitalized for a pulmonary embolism. Each time was different, but they were similar. The biggest symptom is pain with breathing. If you start to get chest pains, and you breath in, the pain gets much worse. The pain will get increasingly worse and will not go away. The first episode I had, the pain got to be so bad that I could barley walk into the hospital. The second time I wised up and went to the hospital before it got too bad. Really the emboli can occur anywhere in your chest.
My first episode I thought was a pulled muscle as I had pain in my lower back. I ignored it for quite awhile and ended up in excruciating pain because I actually had an infarct (where my lung tissue died off because the circulation had been cut off from the clots). The second episode I had pain in the middle of my rib cage on the front of my chest, with pain radiating to my shoulder/neck. I guess the radiant pain isn't uncommon so that is another symptom.
I wouldn't be overly concerned about blood clots. Yes, you are at an increased risk because you are pregnant, but there is nothing you can do to prevent it unless you want to take blood thinners. Which is not recommended unless you have a history of a disorder. You will definitely know if you have a blood clot, there is plenty of pain. And you should get to a hospital immediately as they can be life threatening. If you have to go to the hospital you will be admitted for a few days until they thin your blood enough that no other clots can form.
Sorry that was really lengthy. I hope it helps.