They're not bad for the baby at all as long as they're not all you're eating. There's a good chance that they'll give you heartburn, but that's about it.
It may actually be your baby craving it and not you at your stage. A study found that babies develop taste buds in the womb of what they like to eat. My oldest would eat hot stuff all the time, up to about 6 months ago. All 3 of my boys (#3 is still cooking) have had me craving Mexican food. My favorite snack is medium hhotness salsa and chips. I like it to have a little kick but not Shaggy and Scooby steam coming out of your ears hot. Sorry for the Scooby-Doo refrance my boys love Scooby-Doo.
I've been all about spicy foods, too. It does give me some heartburn, but it's worth it.
I love spicy foods! I always have, and this hasn't changed at all since I've been pregnant (I'm 29+6 today). I've still had lots of spicy food, and no heartburn so far!