yes go to the doctor sometimes a urine infection causes the baby to come sooner .
One of my first signs of being pregnant this time (my 2nd pregnancy) was needing to go pee RIGHT NOW. I literally almost peed myself several times. I made my husband finish grocery shopping and told him I had to go home because I was having issues. It took me a bit to think of it but I finally took a test and sure thing... pregnant! Drink lots of water and lean forward when you go pee. It will help your bladder empty more completely. It's still probably good to check with your doctor.
go to a doctor. infections are much more serious when you're pregnant.
I would go to the doctor.