Hi A.,
I have a story that echoes everyone else's. OT was the best. I too, was reluctant to go the pscyh route, but it was the best thing b/c he formally diagnosed sensory processing disorder, and EI finally listened! That was 3 years ago, and my son's been through EI and special ed preschool. He's down to one IEP goal for kindergarten, and I think they'll be disqualifying him at the end of next year. I still worry about the environment. He takes off if there's too much noise, commotion, etc., so I have to be sensitive to it and keep a close watch.
The one thing that I didn't see anyone else address was the control thing. When he was little, my son had to have ALL the doors closed, or ALL the lights in the house on or off. This has improved with therapy over the years, but it hasn't gone away totally. Now it's having to be first going ANYWHERE or he has a complete meltdown, and that's it for the day. OCD supposedly runs in my husband's family; however, my friend (and colleague) whose son is now in high school and had severe sensory issues keeps reminding me that SPD is all about control. My son loves things loud, as long as HE controls the volume; fireworks, thunder, etc. drive him insane.
Get all the professional help and advice you can while you're in EI; things change drastically, especially monetarily, once you're out, and not all insurances cover non-rehabilitative therapy. Two more good resources are: Sensational Kids by Lucy Jane Miller, and Raising the Sensory Smart Child. The second is great for situational problems (hair brushing, clothing, etc.) Good luck!