I worked rather late, until 39 weeks, but as I just sit behind a desk as an accountant that was ok. In the event Michael arrived nearly a week late anyway. I was having real trouble sleeping, just through discomfort, not stress I don't think, and so would spend quite a few hours in the nighttime getting things ready. To be honest I needed another distraction apart from the baby preparations or I think I would have driven myself and my partner mad.
That said work was very understanding and didn't mind at all that I took things a little easier at work - I didn't go in early and I never left late - but I think if I were worried about putting on a good show for tough bosses than I might have thought it better to stay at home. It's not that I wasn't doing a good job, I just couldn't manage as much as I could earlier. But it's a small company so I think they were glad to have me around longer.
Next time I'd consider finishing earlier, especially if I worked for a less flexible company that expected you to pick a time and stick to it.