Hi, I'm sixteen, and Mormon, but I'm not pregnant. I don't even have a boyfriend. However, just last night a young man in my stake was married to his girlfriend (she was pregnant). His family is very active in the church, as is he. Now, I don't know your family, but most LDS parents that I've talked to have said that if their child came to them telling them that they were pregnant, or their girlfriend was pregnant, they'd help them and encourage them to seek help through their bishop. But they wouldn't get angry. They say there's no reason for that. What's done is done, and there's nothing you can do about that.
I don't know your parents, and I don't know how active you are in the Church. But I'd tell your parents. And I would seek the Bishop's help if you're comfortable with that. He'll keep everything in confidence.