Brilliant to hear you've had the steroid injections. Really makes a difference to how well premmies breathe. At 32+6/40, if you delivered imminently, there are some things that we know baby would need help with, and some that may or may not cause a problem. At that gestation, they will need to go to SCBU.
Temperature: preterm babies are good at getting cold. At delivery they will aim to do delayed cord clamping, then get baby over to a resuscitaire (heated platform for assessing and stabilising). Will need some help to stay warm, which might be an incubator if unwell, or might be a heated cot.
Feeding: won't have the suck and swallow to feed yet, so if well would be looking at nasogastric tube feeding, if unwell then an drip of sugar water to start with. You'll be encouraged to try to express after delivery, and any drops of colostrum will be gratefully received, as they're the best thing for starting the gut working well.
Breathing: some babies at this gestation breathe beautifully, some babies need a bit of help, and occasionally a baby needs a lot of help. The steroids reduce the odds of breathing problems by helping the lungs mature, and going through the early stages of labour make the baby release stress hormones which also help the lungs. However, the lungs will be a bit immature, and a C section can make breathing problems more likely. So the paediatric/neonatal team will be there at delivery, and one of the things they'll be most interested in will be the breathing, because if need be they can help with that, or even start breathing for the baby if that's needed. They can check oxygen levels on a monitor, and once on SCBU they can do a quick blood test that shows how well baby is breathing, if there are any concerns.
Infection: one of the things that can kick off preterm labour is infection, and preterm babies aren't great at fighting infection, so if they're worried they may start IV antibiotics and do blood tests to look for signs of infection.
Long term: at this gestation, the long term outcome is actually generally great. Increased risk of chesty episodes in the first winter is the most common issue. In developmental terms the vast majority do fine.
Hope that helps a bit. Feel free to ask the midwives to get a paediatrician to talk to you about what they'd need to do. I always prefer to talk to the mums in advance if I can, because it's helpful if we get busy with little one and can't immediately get free to update.