I have had a bit of this through my pregnancy. I don't wee myself when I cough/sneeze but there has been the odd dribble throughout....baby always seems to be sat on my bladder giving me a heavy feeling 'down there' and I don't always manage to empty my bladder fully.
Deffo see your mw about pelvic floor excersises. Mine gave me a leaflet that I keep on my fridge. It tells you how to do them...and because its on my fridge it reminds me to do them every morning You can also get apps for your phone these days! To help with the leakage you do have, I find Tena lady lights a lot better protection that normal panty liners. They are a lot more absorbent and they are designed not to smell, so you won't need to change as often. Hope this helps xx