My husband and I were in a similar situation about 8 years ago. Staying together and being supportive is great. I personally wrote my parents a letter telling them that I was pregnant. It seemed like it would be easier for everyone to deal with, if it wasn't in person. It went over well, they had time to think it over and calm down before we talked.
We have been together since 9th grade and did get married right before we had our first son.
Make sure that you both finish up school the best you can and go on to college if possible. Now adays you have to have it for a good job.
Let me tell you that all of this worry and stress is worth it for the end result. A healthy baby.
Now we have four and wouldn't trade them for the world. They are what's all about.
Sorry to ramble. I hope that I helped.