For me to sneeze and pee on myself 

I thought it wouldn't start to later on in my pregnancy but it's happening now. 

lol. I've heard that some people have this happen earlier in pregnancy, and where you are carrying twins, it's most likley going to happen sooner than others because there is more pressure on your bladder. I just did this last week, I sneezed and peed and my 2 year old kept saying 'mommy peed on herself' to just about everybody she saw that day! lol. Talk about embarassing, it was bad enough already, then you add the 2 year old telling everybody in sight! lol.

Yes it does happen, most of the time it will happen later because of the pressure but it does happen early because of hormones. Just buy some depends or wear a pad.

It happens

pmsl don't forget, you have two in there fighting for space. try some pelvic floor exercises to strengthen your muscles up and wear a panty liner to catch any unexpected leaks.