Zach seemed to really like swaddling when he was born and he was far from a preemie.  He was always able to wiggle out of mine though at some point.  
I haven't looked at baby things in forever, I bet they have some cool stuff!  He loved the toys he could manipulate himself to make noise and colors, like the archway they lay under( I'm sure it has a name though) and things like that when he was a little older than Theo.  All I remember about newborns is being very tired, all the time.  Thankfully it didn't last forever!  I love when they start noticing the world around them, it's such a wonderous time!
Gary bought newborn Air Jordans that matched his for when Zach was born 
