emarie26, Unlike with a man, your bladder does not shut off when you get aroused. An orgasm will send various contractions through the muscles in the pelvic region. This includes the sphincter muscles closing off your bladder.
Recent research also showed that your bladder fills up rapidly during arousal and sex.
Urinate before intercourse or masturbation and do your kegel exercises. Other than that, urination during orgasm is extremely pleasurable, so if you can manage it, do so.
You might also have some muscular trauma in the area causing stress incontinence. This can be repaired. Do you leak when you sneeze, cough , laugh or lift something heavy?
It might be well worth your effort to see your doctor.