Please note that it's okay to be overweight or underweight and still conceive. The safest route is to diet and lose the weight first, and then maintain a healthy diet from all the food groups. With a healthy diet and exercise you should be well prepared for pregnancy. Exercise is good for you. Exercising is best done before pregnancy occurs and then continued after and throughout the pregnancy.
Pregnancy is very tiring and for an unexercised body especially so.
The importance in starting the exercise program before conception occurs is to help you to be able to carry it out throughout the pregnancy. This will make for an easier labor and delivery too. Always check with your physician before starting a new exercise regimen. It's important to be in good health as you are trying to conceive. That's why a good physical exam would benefit you before pregnancy occurs.