I did natal hypnotherapy when I had my first baby (and doing it again this time). Yes, it's fantastic, though I would caution that it's really about practicing it, not taking a course. We did take a one day course last time (but it was pretty pointless), but you can't just turn up at a course, do it for a day, and plan for it to work for your birth. It's about regularly practicing self-hypnosis, so you'll need to commit to doing it 2-4 times a week in the weeks leading up to the birth. Make sure the course you take comes with a programme to use at home, ideally a book, and self-hypnosis tracks. For much less than the cost of the course, you can just buy all that stuff yourself (for natal hypnotherapy, the mp3 track is 10 quid and the book is about 15, I think and that's all you need). The course just told us what was in the book (which I'd already read) and there were like 2 practice sessions, but you could have done those at home.
So yes, it's wonderful. I started to practice with my first around 30 weeks, did the tracks about 3 times a week (about 30 minutes or so long), and I had a really lovely, comfortable, relaxed birth. I had a home birth, which I think helps as it makes it much easier to relax, but I didn't need any pain relief other than a TENS machine. I was really comfortable, all really smooth and relaxed natural birth. The relaxation techniques are applicable in other areas as well if you have any anxiety. I've used basically the same for flying (have a fear of flying) and for having dental work done. So it is really effective. But just make sure you leave plenty of time to practice ahead of 37 weeks and focus on the regular daily practice rather than a course (though the course isn't a bad thing either as long as it isn't all you do).