I sometimes feel guilty for not getting him a dog, but then I remember that would mean we have a dog with all the inherent work and responsibility, and I don't feel guilty anymore.

That's okay honey don't feel guilty. Maybe his loving, crazy, grandparents will get him one as a consolation present when the new baby comes. (the crazy is to denote which grandparents, but only you know if it helps)

Don't feel guilty. At least you aren't considering giving away his beloved pet.