It does often feel like you're going to pee, so you have to be a little bit brave and try and ride out that sensation and let yourself ejaculate. It isn't pee, though - the smell is quite distinctive.
Sometimes it's not as obvious as you'd expect that it's happened. Often with me, it's just a tiny squirt, like a spit, not a huge gush like you're led to believe. One sign though, if you respond like me, is that your orgasm will feel rather different.