What is your male to female ratio? Ideally, it should be about 1 male per 2-3 females. Also, you can keep just male Guppies, as long as you have at least 5. This can help you cut down on fry, because female Guppies can have 30-60 (average) fry per month...and if you multiple that by the number of females you have, that's a lot of fry!
The reason they are chasing the pregnant female could be 2 reasons...
1. They are chasing her, to stress her out, and make her abort her fry so they can eat them.
2. They are chasing her because pregnant fish secrete a special hormone males find attractive.
Usually it's the second, though.
And since you said you set-up your tank a few days ago...I assume you cloned a tank to cycle it?
Best of luck with your Guppies, and have fun being a fish-keeper!