Yeah it definitely sounds like cystitis. It might go away on it's own if you drink lots of cranberry juice/water, but if it persists go to your doctor: 3 days of antibiotics and it'll be gone. As somebody said, peeing after sex can help prevent it. I think the feeling you get during sex is unconnected, and happens because of the pressure against your bladder. Although it also feels like you need to pee when you are close to getting a G spot orgasm... either way, not linked I don't think.