www.incontinentsupport.org

Do you think I should see a doc when I only experience mild leaking (few drops) when I have a cold and cough a lot?
Last time I coughed really hard two or three times in a row and my pants and jeans were all soaked. Luckily I was wearing a long jacket.
I think I'll try some exercise.

Yes you should. The onset of mild symptoms can often be an indicator for a more threatening condition.

In the mean time I think you're on the right path for doing exercises. Look up kegel exercise on the net and follow through with them.

You may also want to start keeping a voiding diary. Log in what and how much you eat and drink. Also log in how much you pee and how often. You'd be surprised how much you can reveal with just this alone.