Infected mosquito bite?

Three days ago, I noticed what appeared to be a mosquito bite on my upper right arm. I am usually not concerned with bug bites, but I am 5 months pregnant and have never had one like this. I didn't feel it when it happened on day one, but by the evening it was warm to the touch and I could feel the "base" of it was large under my skin and firm. It's not like the other mosquito bites that are soft and just a small pin point like bump. Also, I noticed by day two it was (sorry) oozing yellow liquid. This is the third morning and I'm growing concerned because its still oozing, still firm feeling, and a tiny "crater" like hole has formed in its center. It does not hurt, only itch and is not poison ivy because I'm very very familiar with those blisters. I also just realized I"ve had periods of sickness and loss of appetite these three days, but I'm not sure if that a symptom of pregnancy or related to the bite. I've not run fever and it hasn't turned blue or any other intimidating colors. Should I visit a doctor or let it run its course? My cousin recently had a minor staph infection on her skin, but hers looked differently than mine. Should I be more concerned of staph?