You do realize even when you're on the birth control pill for years, and have unprotected sex, you can still get pregnant, right? You should never have unprotected sex - ever. Condoms also help protect you against STDs.
Switching birth control will screw up your body a bit, as it adjust to the new levels of hormones. You should wait till your pill is well established before you have sex, because otherwise your gonna worry and worry because you don't intimately know your body yet!
P.S. When in doubt take a home pregnancy test, or go to your doctor.