Yup, it's a good idea to start now and get into the habit - after the baby is born it'll be drummed into you to do them all the time! Like Tan said, you want to squeeze the muscles you would use to stop the flow of wee - though I was told not to do them while you are actually weeing because its possible to retain some urine and get an infection.
I find I can only do about 10 before I get tired, so I do sets of 5-10 whenever I think of it. Something that was suggested to me was to do them whenever you do something you'd do frequently, like whenever you open the fridge door...