I had cholestasis, from about 31 weeks, with my twins. The itch was incredible. At one point, on a Sunday afternoon, I was on the phone with my OB in all seriousness threatening suicide.
My best coping strategies (other than the prescribed medication) turned out to be:
1. a natural-bristle hairbrush, to scratch with-- it's less damaging to the skin than fingernails
2. Sarna lotion
3. immersion in cold water-- I spent half my life in the bathtub
4. Ice packs
5. a really strong antihistamine/sedative--- it doesn't help the itch, but it knocks you out enough that you can sleep through the itch (I was prescribed Vistaril).
Good luck. The good news is that cholestasis is almost always completely cured by delivery. So that just a few hours after birth, I was no longer itching.
The real kicker for me was that four days before delivery, I got hit with PUPPPS too. The rash and everything, and it lasted until two weeks postpartum. So I got it coming AND going. Isn't multiple pregnancy a joy?
For the public good: it is important to distinguish between the two conditions that both cause itching, because cholestasis left untreated and unmonitored carries a greatly elevated chance of late-term fetal death. If you're pregnant, and itching, PLEASE do your research.