The ingredients in self-tanning lotions are harmless. They stay on your skin and aren't absorbed into your bloodstream, so they won't harm your developing baby.
Tanning beds are a different story.
We don't have any conclusive evidence that they're harmful during pregnancy, but I advise most of my pregnant patients to avoid them until we know more. I have two main concerns. One is the possibility of overheating. My other concern is the possibility of restricted blood flow to the heart from lying on your back too long . If this is a problem, you'll know because you'll feel lightheaded.