Apart from the missing 'am' in sentence two, they're grammatically correct.
Just a few comments:
'When' would be a better connector than 'while' in all of these sentences e.g. "He tends to get annoyed when I am changing his clothes."
Do you really mean 'nervous'? I can't see why a baby would be nervous when having his nappy changed.The adjective 'nervous' means apprehensive, as if he were afraid of what was going to happen next. This is a common 'false friend' across European languages, and many non-native speakers of English mistranslate 'agitated' or 'upset' as 'nervous'. Do you mean agitated or upset, perhaps?
"He tends to get upset when I'm changing his nappy.'
And note that we usually use the singular word 'nappy' in this context.