I've used insulin for more than 20 years. I currently have a pump but previously used a regime similar to yours. Yes, I have extra insulin for snacks, and yes I had snacks when pregnant. I had a mid morning and a mid afternoon snack. I avoided late night snacks as having another lot of insulin then can mess up blood sugars overnight and they're more difficult to monitor. If I was going to eat something like cake, I'd try to have it at a time when my blood sugar was easier to control and possibly when I was going to be active afterwards. My main difficulty with cake is calculating the carbs when you buy some when you're out. I avoid really sweet cakes eg ones smothered in icing or else just have a tiny piece.
I also have desserts - things like cheesecake, apple crumble, ice cream, etc. I don't have huge portions and I count the carbs carefully. I always test my blood sugar lots and I don't have desserts every day.
The most important thing for me, a Type 1, when I was pregnant was to keep my blood sugars as good as possible, and to eat healthily with some treats. Somewhere on thi section of the forum I put a typical days eating, but I cant remember which thread it was in.
If I was hungry, I ate a reasonable snack - not too many carbs (easier to get insulin dose right that way) and maybe with some protein as well. I ate things like digestives and cheese, fruit, flapjacks, crumpets, etc.
Again, I stress I'm Type 1 so you may react differently. I'm just explaining what I did
I continue to have snacks now I'm breastfeeding, and actually have bigger ones as I need more calories.
Insulin always needs to be used cautiously. I would be very wary about having large doses because of the risk of miscalculation and hypos. Im sure you know this anyway, but take care if experimenting with different foods, etc.
Hope that helps