Why do I always pee a little when I cough or sneeze?
This is called stress incontinence, which means you have enough intra-abdominal pressure from the force of the cough or sneeze that you leak from your bladder. It is especially true for women with an enlarged uterus (like in pregnancy or with fibroids) or who are overweight. If this is a new problem for you, it is wise to be checked out to make sure you don't have a urinary tract infection which can lead to more urine leakage.
There are some pelvic floor exercises (called Kegel's) you can do to help prevent this from happening. You can find instructions at http://www.mayoclinic.com/health/kegel-exercises/WO00119