Go to the Family and then click on "Guardians and Children" on the left. Under the Children Entered, click on "Add Prenatal Child".
You can then enter the information for that baby. For the name, you can put in "Baby" for the first name and then the last name. The sex will always be "P" even if they parents know the sex of the baby.
Once the baby is born, you will click "Enter birth info" to update the DOB, sex and name.