It certainly wouldn't hurt to have it checked to be sure. Cloudy urine *can* be a sign of problems.
However, I've had this symptom too, and while I plan to mention it to my midwife when I see her for the first time this week, I don't think (for me anyway) that it is anything to worry about. My urine is cloudly almost exclusively when I get up in the morning. From the research I've done, this isn't all that unusual. Vaginal secretions (which can increase when pregnant) can accumulate overnight and make urine appear cloudy when you urninate in the morning.
Have you been drinking enough water or do you have any other symptoms?
I also bought some over-the-counter urine test strips that detect all sorts of things. The things you'd probably be interested in checking are protein, nitrates and leukocytes. If these tests were positive it could indicate infection or be a warning sign for pre-eclampsia (protein.)
Here are a couple related queries I found on the net:http://forums.obgyn.net/pregnancy-bi...0207/2556.htmlhttp://parenting.ivillage.com/pregna...e_3pqm,00.html