January Jones is remaining tight-lipped over the identity of her baby's father, saying it is her "son's business".
"That's my son's business. It's not the public's business," she said.
"Women should have lots of secrets. It's our right to have secrets. Otherwise, what would we write in our memoirs?"
The 35-year-old actress added: "Jack Nicholson once told me: 'You should never give your personal life away, otherwise people will pick you apart. They'll never believe in your character'."
January said she remains quite frugal: "I wasn't brought up with money. I don't think I'd spend more than 150 US dollars on a shirt."
She is also quite orderly: "I'm almost OCD. You will never find a piece of clothing on my floor. I can't relax if I'm sitting in a mess."
And she admitted she has passed that fastidiousness to her son.
"His first word was 'Mama'. His second was 'back', because I keeping saying, 'Put it back'," she added.