Urinary incontinence for women is usually classified as "stress incontinence" or "urge incontinence." Losing bladder control during sexual stimulation is most likely urge incontinence: The stimulation of the area nerves causes the urge to urinate and then contraction of bladder muscles (for some women it's just a strong urge, for others it's actual leaking).
While it poses no risk to you or your partner, it is definitely undesirable! Make sure to empty your bladder just before sexual activity. See your doctor to rule out a bladder infection. Performing regular Kegel exercises may be of benefit. The type, duration, and location of stimulation may influence the urge; more practice may help you better understand cause and effect. Certain positions may decrease leakage (for example, woman on top or side-lying position).
There are medications for urge incontinence that could be trialed just before having sex. Taken 10-60 minutes before sex play, the medication can decrease the urgency sensation and actual loss of urine.
This issue can really interfere with sexual expression, so addressing it sooner than later is important. See your gynecologist or urologist to further discuss which of these options are best suited to you based on your medical history.