I did a few things.. mostly to keep my mind off worrying. But I precooked some meals, brought a couple tiny baby clothes. Visited the hospital and viewed the rooms, the nicu and special care area.
I read up a lot on pumping and to build a healthy supply and a stash!
I organised my entire house too because I was off work and very anxious!
If I had my time again and I felt good at 34 weeks I would of pushed back a couple of days to a week (depending on your situation(I had pprom).
Good luck with it