Yeah, they're definitely cooked if they are out of their shells. You deal with them in the same way as mussels - steam them in their shells until they open and discard any that haven't opened. So if you buy a tub of cockles then they've been steamed out of their shells. The thing is that like other cold food that you haven't prepared yourself, you need to be careful about how it has been stored - anything like cold chicken or prawns or other deli food is a slight risk. Maybe safest to cook up with some nice pasta and eat steaming hot!
They eat cockles raw in some parts of E Asia but there have been health scares over them as raw cockles have been linked to hepatitis. So I doubt it would be allowed to serve them raw in this country even if you fancied them. But everything I've read says that cooked shellfish, including cockles, are fine to eat in pregnancy.
Sorry for the long-windedness. I'm a bit of a shellfish obsessive, used to live in japan where they'll eat anything that crawls along the sea bed (and most things that don't!)