My first child is three weeks old and I have a very similar support group in place. Yet even with all the help, I too, am strongly considering a nanny - I feel the thought alone is an indication that I've already lost my sanity haha
The time spent doing this not only builds inter-generational ties but also seems to build up our parents' health: we have found that they perk up and snap out of old age haze when their grandchildren are around. In the long run, this can only be a good thing.
Our first is due in April, and this thought bums me out a bit. But we live in different countries, and moving home just isn't an option, so, shrug.
I am fortunate in that I can take time off to meet our grandparent obligations, but damn it would be easier (and CHEAPER) if everyone was in one place!