Yeah, there is the pregnancy scare in Danse Macabre and another one in Blood Noir after her two-day boinkfest in the hotel room with three strangers.

Anita is on the pill, except for the six months she goes missing and she stops taking it, which lays the groundwork for the first pregnancy scare. She also uses a condom once with Jean-Claude (as dwg says) and once when Nathaniel forces her to wait long enough for him to slip one onto Byron during Incubus Dreams.

But, Anita tends to rely solely on the pill as her form of contraceptive.