My son has done OT for this and he turns four tomorrow. He has made great progress and we actually don't have to go back for 6 months unless I/he has an issue! Good news, but he likes the sensory gym so much that he is bummed we can't go to the hospital until summer. I hope we don't go the hospital before then! :)
It has gotten better as he gets older because he is in more control of his environment and has better communication skills to let us and others know what he needs. I anticipate it will continue to improve as he matures. In fact, at his last appt. his therapist mentioned that if she met him out in public for the first time she wouldn't even think he had any issues.
The hospital gave us great handouts explaining all the sensitivity issues and ways to handle environments, expectations and even just games to play. I gave these to his preschool teacher as well and she was really excited to have the information.
Of course, we still have things to work on and things we just have to figure out by trial and error. Our overarching problem is that he is a high sensory seeker with low modulation. That translates into a lot of meltdowns or freak outs at the drop of a hat.
Things can be very frustrating and just tonight I was mourning that he won't watch holiday specials with me (does not react well to tv/movies); can't focus when I'm trying to tell him something nice at bedtime, like how I enjoyed our day; or won't read certain pages in his new book. But he's still awesome!
UPDATE:
My son received a good book for xmas yesterday from my parents called Why Does Izzy Cover Her Ears? It's about a first grader with SPD and how she feels inside and how she, her school and her family do things to help her feel better. He's already asked to read it 4 times!