Abby was born at 29 weeks.
They don't develop the sucking / swallowing reflex in the womb until 34 weeks so we thought we would have to wait a while, but in fact she started having a go at feeding at 31 weeks. She would give little kitten licks and it was the most fantastic moment of the whole thing!
It took a good wee while to establish though. She was off the tube and still hadn't got it cracked and I was convinced it was never going to work. Then one day she just did it. That would have been at about 35 weeks.
I put huge amounts of pressure on myself to get it established and I shouldn't have done. I refused to use a nipple shield, I wouldn't entertain the idea that we would be exclusively expressing and there was no way she was having formula.
In the end, I realised, as long as she is fed, it doesn't really matter how. I relaxed about it, I used the nipple shield and that really really helped. Then when she was home I gradually weaned her off the shield and within a few weeks, she was feeding without it - although I did use it when the nipples got a bit sore!
It is hard work, but you'll see, all of a sudden, it will happen.