If you have a very early preemie, look into the state-funded therapy programs. In Georgia, it's called Babies Can't Wait, although it's different in every state. Every state offers the service, because of federal legislation, specifically Part C of the Individuals with Disabilites Act (IDEA). Do a web search to find the agency in your state, or ask your pediatrician.
Don't make the same mistake I did: When I asked the pediatrician about possible developmental delays, he replied, "Oh, he was three months early, so he'll always be about three months behind, and that won't make a difference when he's older." I believed him, and this information was WRONG! If I had done my research, I would have gotten Nicky's development tested a lot earlier than 13 months...at that point, he was testing at the level of a 6.5-month-old - much worse than just 3 months behind! The waiting list was so long to get into evaluation and therapy that he didn't start until 17 months. Although he caught up completely by his third birthday, I know in my heart that we would have gotten much farther much faster if we'd started the process earlier...say around 9 months.
Also, don't be afraid of a diagnosis! I've found that many parents don't want to hear there's anything wrong with their child, especially developmentally. However, embracing the diagnosis means that you can work with it that much more effectively.
Aimee - 28
Dh - 29
Ds Nicky - 3/24/00 (28 wks - eclampsia)
EDD #2 - 8/3/03 (It's a BOY!)