I think your topic is a little vague (early vs. late preterm, as many have pointed out, is very different). I think you need to narrow it and work from there. Late preterm would be easier and would largely be similar to just "regular" new baby teaching.
Focus on safety and on baby's main activities: eating, peeing, pooping, sleeping. What would a brand new first-time parent need to know about what to except from their baby in those 4 areas? As far as safety, three big things come to mind off the top of my head: child abuse, sleep safety, car seat safety.
If you haven't already, check out KidsHealth
for some good teaching topic ideas.
And no games. You don't need games.