I started by getting a couple kegel trainers that can be connected to an app that allows you to play games by tightening and loosening your pelvic floor muscles around the trainer to move a character on the screen.

I now use an electric pelvic muscle exerciser that does automatic kegels for me. I switched to this kind partly because it's easier, but also because I can't contract my pelvic floor muscles very strongly on my own, and this gives me and much, much, better workout and strengthens my pelvic floor a lot faster.

While I successfully strengthened my pelvic floor enough to stop having bladder leaks, I haven't yet managed to do it frequently enough for a long enough period of time to make any significant improvement with my ability to feel pleasure.

There are also various stretches that can strengthen the pelvic floor. Below is one that I sometimes practice. The stretch I learned is without the ball, though.