My last day in the office will be when I have just turned 36w. Then I've got a week's annual leave, and start official maternity leave at 37+5 (a week and a weekend later). Though to be honest, I have another week's annual leave to use during September so will probably work 4 day weeks, and work from home around that too. And I'm just about to start WFH one day a week now. I'm having an ELCS so that should mean baby is coming somewhere in the 39th week, which changes things slightly.
In my first pregnancy I worked until about 37w as well, but used a lot of annual leave and the Christmas holidays to afford that.
If your commute isn't too bad and your work isn't too physical I'd leave it as late as possible, as long as your work understand it might change.
A friend of mine did leave it to work up to 38w, left work on the Friday and had the baby Sunday am 