I and my wife, we both are on working holiday maker visa and we enter here in Feb. 2008. And now my wife is pregnant and we like to apply for P.R or HSMP or work permit. We both are qualified and doing work and paying tax.

Visa for Work Holidays Program is short-term non-immigrant visa and in order to change your status while in UK, you would need to prove that you are qualified for that certain type of status, i.e. if you want to stay and work legally, then you need to find a job that the employer is willing to sponsor you a visa. Having a pregnant wife is not the reason to stay. As a matter of fact, both of you should return to your home country before she's not allowed to board the plane. Having a baby born in UK does not make parents eligible to become permanent residents.