First of all, congratulations on your miracle grandbaby!
I can't offer advice from experience, as I am not yet a gran, (and between us if it happens I am more likely to be the paternal one, with parents and baby 120 miles away and other gran round the corner).
Bearing in mind my total lack of experience, I suspect that what you are experiencing is perfectly normal, as that close relationship will evolve from the way it is now, when the baby is entirely dependent through various stages until one day the next generation comes along. With hindsight, I could grieve for each of those stages with my own children, but when we live them for the first time we don't notice. We can't know that we have held their hand to cross the road for the last time, or that it is the last time they'll snuggle into our bed on a Saturday morning in case there is a monster in their room, but we know now how many of those 'last times' there were, and can predict them with grandchildren.
The difference is that grandparents are armed with that knowledge, and know that for every last time there will be a new first. Try to keep that in mind, and enjoy the baby