Sex at 36 weeks?

So I've been super aroused lately, and my husband has been too, I'm currently 36 weeks pregnant and have been losing parts of my plug since about 18 weeks. We both want to have sex but he's worried that it could harm the baby or put me into labor or something like that. Mind you we did have a threatened miscarriage at 6 weeks so he's worried. My question is, should be be worried about anything bad happening or is he fine. I think its okay personally.