Working while pregnant.?

Hi i work at a very popular dollar store i work the night shift i close as of lately we have had 3 men that constantly come in our store to "Scope" out the place they steal things all the time we just cannot catch them and personally I'm not going to fight them over that place I am 9weeks pregnant and i am terrified i work the register We are not allowed to have anything to protect ourselves But i am tempted to keep something on me just in case These men are very scary and they always ask about our safe and how many workers we have and what time deposit goes out......I work with women we have no males that work there and there are only 2 people at night and i am one of them...What would you do ?? what should i do?