Hi there, congratulations on being an Auntie! I had twins at 27+6 7 years ago now, both weighing the same as your nephew (2lb 6oz). They are now 7 year olds with no sign whatsoever of their prematurity - very bright, active, cheeky monkeys
. They had caught up with their peers by about 18 months - still walked, talked, etc at the same time as other babies born at the same time but were just a little bit smaller.
In my case, the unit supplied all nappies and bits (cotton wool etc), and he won't need clothes for a while as they'll need to see his body. The Boots range is good, but he only needs the absolute basics. At our hospital, the babies were allowed a blanket which went over over part of the incubator at night (as the lights are on pretty much all the time).
In terms of your SIL, a few things were really useful. A notebook first of all - I basically kept a diary of how things were going, positive comments the doctors had said, how much milk they were having, when they opened their eyes etc and it was so useful on the bad days (and there probably will be some 'bad' days when she'll think he's not progressing as quickly as she'd like) to look back and see how far he's come. Also, as others have said, a breast pump (although the hospital supplied mine), snacks and magazines as she'll probably be getting up during the night to express.
Also, can you make a few meals or perhaps go round and do a load of washing - all the day to day stuff that your brother won't be thinking about because he'll be at the hospital at every opportunity?
I think perhaps too just try to be there for them in whatever way you can. Its difficult to explain - part of me felt slightly detached from them, and was therefore happy for nurses to step in (as I also felt they knew what they were doing) but at the same time was fiercely protective as they were so little so hated other members of my family "distracting" me from my job sitting at the side of the incubators! Just be understanding / patient - they'll probably be all over the place emotionally. You do have to take each day as it comes but rest assured that neonatal staff are generally amazing and your nephew will be getting the best care.
There is a charity for premature babies called BLISS (www.bliss.org.uk) which has lots of useful info and a forum for questions.
My babies came home at exactly 2 months old - so the equivalent of 36+5 (they were still only 4lb 9oz) but it seems such a long way away to start with.
Best wishes to you all.