My daughter was just born last week at exactly 34 weeks. It was due to preterm labor, and I was only able to get one steroid shot before she was born. The hospital where I delivered did not have a NICU. We were VERY fortunate that she did not have any issues. They would have transported her to a hospital with a NICU if she did. They kept her in the nursery for 24 hours to monitor her, then she was sent in to room with me the rest of the time. She was actually discharged before I was. I don't think this is the norm though, and I honestly would have felt better if she was monitored in a NICU for a while.