Three's company: Rebecca and husband Harry settle in at Anantara the Palm Jumeirah . My husband Harry and I knew this was going to be a landmark holiday - the last one on our own for a long time. Our baby girl is due on June 4 and, when we touched down in Dubai, I was 28 weeks pregnant. You can't fly after that without a doctor's note. We had left it until the last minute and, by the time we arrived, both of us were ready to relax. I'd been to Dubai once before as a swimmer, when we stayed in an apartment. This was completely different - and utterly amazing. The Anantara is part of The Palm project and is like nowhere else. Because it has over-the-water bungalows there were times when it felt like we were in the Maldives, but when we went to the Australian themed restaurant, I imagined I was back in the jungle on I'm A Celebrity — even though there weren't any luxuries in that jungle. You have to see Dubai to believe it. Everything is so clean, luxurious and new — even the main tourist areas. And everywhere hotels are being built. We kept asking ourselves how they will all survive, but somehow they will. Our room was on the lagoon, which meant we had direct access to the water. We tended to spend a couple of hours in the morning by the main pool, then, after lunch, we retreated to our gorgeous room, where we had sun beds on the balcony. Harry is doing a graphic design course back home and so he spent some time each day on his studies. By 4pm, it gets hazy in Dubai. Some days we went for a wander around the whole resort, which is about two miles round but it is cleverly laid out. It never felt crowded. Jump in: The Anantara has three turquoise-blue 'lagoons' ideal for swimmers of all experience levels . We had a lot of time to think and to discuss what name we should give our baby. We always wanted to know what to expect — we're having a girl — because we are both impatient people and are keen to plan ahead, but we can't agree on a name. Naming something before you see it is strange and it's vital that her first name goes with her last, which will be Harry's name, Needs. We want a name that won't sound as if she is 'Needy', if you see what I mean. One day, we went out on a boat and I hoped to see David Beckham's house, but no one seemed sure where it was exactly. But what we did see were some of the most expensive properties ever. There's a lot of money splashing around in this part of the world. We also made a trip to the famous Dubai Mall, which is bigger than a football stadium — or so it seems. And guess what? We bought our not-born-yet baby her first swimsuit. It has a French look to it, with jaunty stripes. My plan is to take her swimming as soon as I can. It's something we will always be able to do together. Retail therapy: Rebecca Adlington did a spot of shopping at the famous (and enormous) Dubai Mall . More importantly, I regard swimming as a valuable life skill and I was surprised to see at the hotel that some children had never learned. That's why I've started Becky Adlington Swim Stars for three to 11-year-olds. Already we have 17 venues taking part and 3,500 children are learning to swim with us. There were lots of British people in the hotel and they were all very friendly. It never bothers me if someone wants to come up and have a chat or have a photograph taken. Athletes are different to film stars in that people see us as we are, not playing a particular role. And we are used to having a microphone shoved in our faces immediately after we have competed. It teaches you to be natural. One thing I enjoyed at The Anantara was looking at all the baby equipment people have. It started to give me ideas. I was also pleased to see how kind everyone was to the children. The staff went out of their way to be helpful. This is a real family resort. Paradise pictured:  The Anantara offers over-the-water villas which provide the perfect sea view . After I retired from competitive swimming at the age of 23, I didn't go near a pool for six months. Then I started to swim again as a way to keep fit and I still love it. I love the feeling of being weightless and this is especially welcome when you're pregnant. Harry and I went to the gym a few times at the hotel and I did a bit of this and that, but I am not used to high-impact sport. A gym is difficult on my knees. There is not the tiniest bit of me that ever wants to compete again. As an athlete, I was so focused and driven and I left the sport knowing that I could not have given more of myself. All that training was really tough, but I chose to do it. Flashback: Rebecca survived daunting trials when she appeared on I'm A Celebrity... in 2013 . Now, I have a chance to get on with the rest of my life and I'm excited about that, too. It gives me an opportunity to try new things — like coming to Dubai with Harry and spending most of the time lying around. In the Australian restaurant, an Arab man came up to me and said he recognised me. 'You'll feel at home in this restaurant, then?' he said. 'Why?' I said. 'I'm not Australian.' 'Because you were on that programme in the jungle,' he said, without mentioning my swimming. I am so pleased to have done I'm A Celebrity. It helped me find my feet and I've always loved Ant and Dec. But it was scary not knowing what would happen and suddenly finding myself with 11 strangers. What's for sure is that it really made me appreciate a holiday like the one in Dubai. Jasmine Holidays (0333 7000 747, www.jasmineholidays.co.uk) offers seven nights' stay at the Dubai Palm, Anantara on a half-board basis - from £1,150 per person, based on two adults sharing, including flights and transfers. 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It was a crucial holiday for the Olympic gold medallist and husband Harry . Their stay would be their last getaway before the birth of their first child . The couple stayed in over-the-water bungalows at Dubai's Anantara resort .