One thing to know is that if you emptied your bladder first, you're not going to pee. (And even if you did, it wouldn't be a big deal. Urine is sterile and not something to be ashamed of.) That feeling is usually the feeling of what it is before orgasm or during arousal, and you just want to learn to go with it instead of stopping.
Ultimately, we all get off so differently, that this is usually just about needing to try a lot of different things -- and by that, I mean not just ways of touching yourself or places of doing so, but also being in different moods, thinking about different things (fantasies), and trying different things before you even get started, like seeing if a bath or walk or rest first adds something or not.
Here's an article or two that might come in handy:
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How Do You Masturbate?
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D.I.Y. Sex Toys: Self-Love Edition
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With Pleasure: A View of Whole Sexual Anatomy for Every Body
But otherwise, give yourself at least a few months to really experiment. It can just take a while to find out what works for you and what you like.