Prayerful - don't feel bad about wanting it over! The last 2 weeks of my pregnancy were basically spent with me crying in the hospital, begging the doctors to deliver me. I will warn you - if you take yourself off of bed rest, go into labor, and get put into the hospital, the doctors will try everything they can to keep that baby inside you, no matter what. They will want to give you Ibuprofen for 48 hours. They will want to give you Magnesium. They will tell you that you can't get out of bed to use the toilet and must instead use a bedpan. They will make you stay hooked to the monitors 24/7 and they will only deliver your baby when your baby's pretty much halfway out! (That's an exaggeration of course, but they refused to deliver me until I was at the point where delivery was imminent anyway. So if your labor stalls like mine did, there won't be anything anyone can or will do for you.
With that being said - my one piece of advice: remember your right to say no to any treatment. I'm not telling you to refuse any of the things they will want to try, but I am telling you that if you want to, you can. Also, if you do refuse treatment, the doctors and nurses will not agree with you, and I actually had a really bad time with that - many of the nurses were downright mean to me for refusing medications.
And I'll warn you of one other thing - for the first week or so after the girls were born, I absolutely hated myself. As much as I wanted the pregnancy to be over, the minute I first saw them, I cried. I felt so guilty. When they were in the NICU, every time they had an IV moved or they had a blood test done, I cried. I blamed myself, and I still do really, because I can't help but wonder if there was anything else I could have - or should have - done to stay pregnant longer. I felt (and still feel sometimes) like I traded my pain for theirs.
As for the NICU stay itself - it wasn't bad. They were in the intensive care side of the NICU for 2 1/2 weeks and then the special care nursery for 4 1/2 weeks. Tegan was in the NICU for 51 days and Britton for 54. How well each baby does really just depends. My girls' lives were never in danger but they do have some eye problems (which the doctors thing will get better over time) and Britton had a heart rate drop at home today. So it really isn't something predictable. But, generally, 28+ weekers do pretty well.