Make sure you get something super soft, preemies skin is much thinner that a newborns. I find that even some baby yarns can be a bit scratchy! So far my absolute favorite for softness is bernats bamboo, but I am not sure how well the fabric lasts since I have never washed my little creations yet!
PS I had twins who had to stay in the nicu and were 6 weeks early. They are making a horrible mess as we speak!