I stayed until 39 weeks last time (but I was feeling fine, if a bit less energetic than usual) and that was my plan this time too, but I'm so utterly exhausted and sore that I probably need to reevaluate that. It's not quite the same in 2nd pregnancy - I come home and have to take care of my toddler.
You have to listen to your body, I know lots of people who went into labor early because of work related stress. If I felt that, I'd stop immediately.
You can be useful at home too - organize the baby stuff, cook up and freeze meals, go to the hairdresser, beautician, etc. as you won't have a chance for a while. Stock up dry groceries. Get ready for the arrival of your LO mentally and physically!
So have a nice last couple of weeks.