I have had three colposcopies in the last two years. It involves the gynecologist applying a vinegar solution to your cervix, the vinegar solution turns any abnormal cells that you may have white. Then the gynecologist looks at your cervix with a colposcope, which they look through to magnify the cervical cells. Sometimes they take a biopsy during the procedure, which they use a tool to take a small sample of different areas of the cervix for further evaluation. The biopsy feels like a pinch or can sometimes feel like a small menstrual cramp. If you have a biopsy, you will have some bleeding afterwards, but this should be a fairly small amount. They might keep you around after the colposcopy for about 10 minutes to make sure that you aren't bleeding too much from the procedure. I don't think I received any local for this procedure, but i am not entirely sure. here is a website from a cancer center in Toronto that is reputable.
http://www.colposcopy.com/intro.html

That was my experience, but I am not sure if this will be the same for you because you are pregnant.

It might be a good idea to have someone come with you for moral support, they might not be able to come into the room with you but I found that waiting for the procedure was quite anxiety provoking.