If you get a wrap, don't get dehydrated or overheated in the process. Dehydration can lead to increased uterine activity and contractions; these won't change the cervix or trigger labor, but they can make you very nervous. So make sure to drink plenty of water prior to, during, and after the procedure.
More important, being overheated can make you pass out. And getting overheated early in your pregnancy can slightly increase the risk of neural tube defects. Unfortunately, the damage occurs within 23 days of conception — usually before a pregnancy can be identified.
Therefore, if you think you're pregnant or are trying to get pregnant, it's safer to avoid getting overheated. That means skipping hot tubs, jacuzzis, or anything that might raise your core temperature.