I have plenty of experience with nursing preemies, unfortunately.
One thing that I want you to know for sure...most preemies *will* end up breastfeeding by the time they would normally be 40 weeks gestation.

This is exactly what happened with my 32-weeker who is now 5 years-old.
Now, switch whatever bottle/nipple set you're using to The First Years' Breastflow bottle system. For some reason this bottle tends to be the one that babies learn to really breastfeed with. Use the slow flow nipple (Stage 1), since that will imitate breastfeeding flow the best.
Definitely get a double breast pump. If you can't afford to buy a Pump In Style (the best pump out there), then rent one from your local hospital's Lactation Department. Also, make a few appointments with the lactation consultants working there.
Find your local La Leche League and call the leader. Ask her to come to your house and watch you trying to latch your baby on and she'll give you great tips. After that, go to the monthly meetings!
To get your milk supply up, start taking Fenugreek supplements (in the herbal supplement section of most grocers). Take two capsules, three times a day, with meals. Drink TONS of water, cut out caffeine! Also get some Mothers' Milk Tea and start drinking a cup or two a night before bed (you can usually find this in the herbal tea section of your local grocer).
Lastly, once you get the baby to latch on properly several times a day (not to necessarily feed, just latching), go out for a day of shopping with the baby and forget to take any bottles. If the baby gets hungry, only offer the breast... my preemies this worked like a charm. It only worked at the 40 week gestational age though. Any earlier and it might have backfired.
I'm currently breastfeeding my 6th baby, born on 6/24 via c-section. I've had a ton of problems with the incision and was readmitted to the hospital for 3 days last week. Luckily we didn't have to supplement baby with formula since DH was willing to run back and forth to the hospital with him for me. However once I got home baby has been latched on for nearly 24 hours a day! LOL