Congratulations!
I would imagine the shock of it is going to be having a huge effect, so do whatever you can and need to in order to have some calm and get yourselves in order. If you work then get your MATB1 asap from your MW so that you can organise your maternity leave from work.
Focus on the simple things for now and try not to stress too much over the actual birth. Getting a hospital bag ready might help to structure it - if you have a list of what you need there, it's really just a condensed version of what you would need at home! Some baby clothes (vests, sleepsuits), feeding stuff (bottles, nursing bra, muslins, depending on what you choose to do), things for you (comfy clothes, maternity towels, drinks and snacks), nappies. If you have these at home, you're pretty much there. The only other main thing you need after that is a place for the baby to sleep and a way to get him or her home (some hospitals insist you leave with a car seat as most presume you won't be walking home and discourage the use of public transport straight after birth).
Do a little read around or attend an antenatal class if you can, and ask the hospital/MW, so that you know what's on offer - pools, epidural, gas and air, active labours etc - your MW will be happy to talk through your birth plan, so you can ask questions and work out what you think you might like to have available at your birth.
Then relax, wait for the time to come, and enjoy your lovely new baby! Although birth is obviously quite an exhausting experience, for me personally it was pregnancy and the first 2 weeks of newborn that I found hardest. And you're nearly done with pregnancy!