While the baby is in the womb it starts to learn about its environment after about six months of pregnancy, when it is capable of hearing external sounds. Of course, it is aware of its internal environment earlier than that, but there is little you can do to enhance that. But when it comes to the external environment, you are in a position to have some influence even from that early stage of development.
You do not, of course, have to restrict her to classical music. Whatever music you like, just turn the volume up a bit more than usual to ensure she hears it. The sound will be muffled, but by the time baby is born, she will be used to your musical tastes. Your aim should be to make the outside environment familiar to the baby. Most of that will happen naturally, and she will become used to the daily sounds, such as vacuum cleaner, liquidizer, lawnmower and other domestic noises that are penetrating.
Maybe Saffron did not appreciate my "keep her awake" tactics. She was probably wondering "who is this guy keeping me awake all the time; doesn't he realise I want to get some sleep?"
However, she does seem to have done well on it. She has slept like a log all night, every night apart from one, since she was just a few months' old. The odd night? Apparently, a bad dream at 11 pm. A quick cuddle and words of reassurance, and she was back to sleep again.
Whether that has any connection to her in-the-womb experiences, I cannot say for sure. But I will definitely be using the same tactics again next time, if we are blessed with a baby sister or brother for her.