If you "hold back your pee" you are putting undue stress on your kidneys and will eventually damage them. Regrettably, your renal system is not as strong as other organs and will damage more easily than other systems. Rather than book yourself in for dialysis in your forties or fifties, I suggest MOST STRONGLY that you take care of your kidneys NOW by being sensible. It was Shakespeare that first said "To pee or not to pee - that is the question." Not to pee is not the answer....
Yes it very bad. You could get stones down there and you're gonna have to have then surgically removed. My dad had them, he's a tough man, but when he had them he was crying literally like a baby so I suggest to not 'hold in' or control your pee.
Take from one who knows! Do not hold back the urge to pee! That's what the urge is there for. You will regret it when you get older. There are surgeries involving mesh slings, implanted computers that help control leakage, pads, adult diapers and all kinds of things you don't want to go through because you didn't pee when you should have. That little sphincter will be worn out too soon and won't work for you when you need it later! TTTPP=take time to pee pee!
Alsooooooo... if your wanting to stay warm i don't advise you to hold your pee cause your body uses more heat to keep the pee hot :O so it's definitely not good at alllll to hold it :D in fact it's not good at allllll.