It happens... trust me. Just because your period comes, doesn't mean you can't be pregnant. Some girls don't show when they are with child. Dunno why that happens, but I'd sure love to keep my body when I'm pregnant so I don't have to try to lose all that weight, either
Anywho, my bf and I just rely on my patch (was on pills before that) and it works wonderfully. If it's close to time for my period, though, we'll use condoms just in case.