I used one in labour and found it really good, didn't have any other pain relief. I hired it from a website called birthease which I would recommend. It cost £21 to hire for 7 weeks but you can pay extra for next day delivery which would be useful at 40 weeks!
I thought mine was great - used it until about 5cms then had to remove it. I'd recommend getting one as I think at the very least the distraction gives you something else to focus on in the early stages. I got mine for about £6.50 on eBay.