The real trick to enjoying these games of course is "mess control". It rather takes away the fun to realize, after the fact, that you must now spend several hundred dollars to replace your urine soaked mattress. Most department stores (Walmart, Target, etc.) carry plastic mattress protectors (like fitted plastic sheets) which, when coupled with a bed pad and an absorbent, washable blanket should help protect your mattress.
One further note about mess prevention: If you should choose to incorporate urine as part of domination games between you and your partner, it might be useful to know that holding one's urine too long can result in a nasty bladder infection, that it can be virtually impossible to pee when you are fully sexually engorged (male or female "hard on"), and that having an orgasm on a completely full bladder may be physically uncomfortable for at least some. Also, be aware that at least some of those adult diapers you see at the supermarket will fall off when suddenly loading with a full bladder's worth of urine. (They were designed to help those who have an occasional "leak".) If you've ordered your "bottom" to relieve herself only in her diapers while at work, she might be in for far more humiliation that either of you intended.