DS was born at 34.5. 4lb. In NICU for 3 weeks.
I can't remember if I am honest what he was doing at four months. I do remember he was always just a bit behind his full term peers, for about 18-24 months. Not significantly so, but he was never the first to do anything in his group of about 8. He was often sort of 5/6/7/8.
Once he hit two he sort of seemed to level out. He is still often late to do things, though when he does them, he does them perfectly. It's like he watches for ages, wants to get it right, then wham- does it.
Eg he is 4.5 now. I was getting worried because he wasn't writing his name, etc. All of a sudden- yup, he writes it on everything, can recognise his numbers, and just sort of "gets it".
So I wouldn't worry. Kids are all so different even when they are full term. You will know if there is something significantly amiss, though it's unlikely to be just because he is a premie. So try not to worry.