Had the same issue when I was 35 weeks pregnant. I monitored the pain level and only walked in to the A&E when the pain level reached 8/10 and above. I was 1cm dilated. Doctor injected steroids in both my thighs to strengthen baby’s lungs. And gave me meds to delay the labour. Managed to delay till full term at 38 weeks.
If the pain is intense, you should. But honestly, go with your gut. Wont harm going, atleast maybe theyll check your cervix for dilation or so