Here's one I did of Mo's half-sisters when they were about that age, maybe a bit older - they were premies too though, and very small:
What I did here, and usually do with kids that small is take a bean bag chair and dump about 1\3 of the stuffing out so you can really squish it around to where you need it to be, cover it with a sheet that matchs somewhat matches their skin tones, bounce some light into the frame and start shooting.
One great prop to use with tiny babies is a measuring tape -- just kind of wind it around them. I have one like that of the K's around here somewhere, if I can find it, I'll post it.
A rubber duck makes a nice prop too - especially if you colorize it on a black and white shot.
Like a lot of people said, moving in close is good (I do that with all ages, not just babies) but most people really want "body" shots.
Having fun with it is the most important part so relax and enjoy!