I did not do a thorough search, but I don't think there are any medications recommended for elevated cholesterol during pregnancy. That means my only option for managing elevated cholesterol is diet and exercise. Even still, though, some people believe that cholesterol-restricted diets may be harmful during pregnancy, since the baby needs cholesterol for brain growth (e.g., Dr. Sears).
This study determined that cholesterol increased in the second and third trimesters of most average pregnancies, and that it increased more in subsequent pregnancies. So it even makes sense for me to have high cholesterol levels during my second pregnancy. Interestingly, LDL and triglyceride levels (i.e., "the bad stuff") seem to rise more than HDL. The same study indicates that women experience lower HDL (i.e. "the good stuff") in their subsequent pregnancies. That seems unfortunate, and the authors of the study suggest that it may adversely affect long-term heart health (not a proven hypothesis). But my thought is that if it's a temporary change, it probably won't hurt me in the long run (but that just helps me sleep at night, so I wouldn't blame you if you're disinclined to believe me).
Another study indicates that diabetics aren't any more likely to have an excessive increase in blood cholesterol levels. The only caveat to this is that they may be more likely to start out with high levels from the beginning. The only thing this tells me is that if I didn't have a problem with high cholesterol before getting pregnant, I wouldn't need to screen for it in this or future pregnancies.
The apparent reason for a rise in cholesterol in pregnant women is that cholesterol is necessary for the manufacture of hormones, and plays some part in the development of the baby's brain.
I think my elevated cholesterol level is probably due to pregnancy, rather than because I have an ongoing problem, but I may get them re-checked after the baby is born anyway just to be sure. I read in a couple of places that breastfeeding may help get them back down, and we're big fans of that here.