Today I had 3 occasions where when I sneeze or cough I involuntarily leak some pee. Does that mean that my muscles are loosening? I heard kegel exercise helps?

Hi there, it's actually a normal occurence. Your body is getting ready to give birth so it will be quite "relaxed" down there. Yes, kegels do work and you should do it whenever you can. I take the opportunity to do kegels at work or while I'm driving. You also wear panty liners just in case of leakage.