Hola Camile 

This is the most natural/common way to say that you are going to eat something as/for pudding - it's not common to use any other preposition (maybe como, but definitely not por). 

You may also hear it placed at the beginning of the sentence, for example:

De postre voy a tomar flan de huevo.

For pudding I'm having creme caramel.

Saludos

Inma