well this depends...
We have lost two babies so I dont know if I want to have my girls involved or not but here are a couple of ideas that I had...
1) Give each girl a sign - the first says "daddy did you know", the second says "that mommy" and the third "Is pregnant?" - then line them up by age holding the signs.
2) Give each daughter a sign. Each one will say "member of the big sisters club" and then it will say "since:________" at the bottom with the age of their next sibling on it. For example my 14 yo's will say Member of the big sisters club since December 1997. My 8 yo's will say Member of the big sisters club since April 2000 and my youngests will say Member of the big sisters club... membership pending until September 2006"