I'm 38 weeks with dc2, aged 40 and took 3.5 years to conceive. I did think about stopping, and 40 was what dh and I had agreed on as a cut off, but this pregnancy has been so straightforward that I think that would have been an arbitrary figure as much to draw a line and move on rather than a considered decision based on increased risk.
Yes, there are increased risks to both mother and child compared to a younger woman, but they don't suddenly pop up at age 35 or 38 or 40. You're at no greater risk today than tomorrow. If you'd conceived last month it wouldn't make any statistical difference to you conceiving next month.
I was quite surprised at how unbothered midwives and consultants have been about my age. It helps that I have no other risk factors: straightforward first pregnancy and delivery, normal bmi, ok blood pressure etc.
Some things to consider - you are much more likely to get a high-risk result from any screening for chromosomal abnormalities so it's a good idea to get your head around that and think now about what you would do, what sort of diagnostic tests you might agree to (or not), what sort of risk is acceptable to you, what your attitude is to potential disability in your baby.
Other than that, this has been a massively positive experience for me. The choice was not to have a baby at 30 or a baby at 40, the choice was to have a baby at 40 (or older if we hadn't been lucky and had continued to ttc) or no baby. I'm glad we're having a baby, ds1 is glad we're having a baby. I hope our baby will be glad that they were born into our family 