As your pregnancy progresses your uterus is expanding and taking up more room in your abdomen. By about the 35th week your uterus presses the diaphragm up toward the lungs, and you don't have as much room to expand as before. This is what causes your shortness of breath. Here are a few ideas to try:
Slow down and take things a little easier.
Remember your posture.
Sleep propped up by pillows.
Speak with your doctor or midwife about breathing exercises that can help you breathe more deeply.