Should I gradually switch her to plain grain for the duration of the pregnancy?
"Grain," when referring to livestock feed, does not literally mean just grains - like kernels of wheat, corn, milo, barley, etc. "Grain" is a generic term typically referring to a commercially prepared livestock feed, either species specific (i.e. goat feed or sheep feed) or an "all-stock" variety. Sometimes it is a sweet feed that is "textured" which means it has pellets AND processed grains in it - usually oats and/or corn, or "grain" can refer to a pelleted feed.
Confusing, isn't it?
No, you do not want to put your pregnant doe on a diet of straight unprocessed grain kernels - i.e. corn, barley, soybeans, etc. You DO want to have her on a species specific, i.e. goat, grain or feed that is balanced. I don't know where you are located in the US, but most feed stores will carry some sort of goat grain/feed. Just about every major manufacturer has a variety, and there are generics available, too.
Yes, you do want to make ANY changes in diet slowly.
It is always a good idea to at least save the tag from the bag of feed that you are using. It helps you make sure you get the same feed next time, and is especially helpful if you have someone picking up feed for you, or if a situation arises when a vet needs to know what you are feeding. You should never "not know" what you are feeding! Lots of grains/feeds look identical once they are out of the bag, and it could be deadly to feed the wrong type to the wrong animal. Sheep can die from copper toxicity if they eat non-sheep feed. Horses can die from eating ruminant feed that has monensin/rumensin/ionophores in it.