Do they actually work?

Yes. Research shows that Kegel exercises (a voluntary contraction of the pelvic floor muscles) with weights are effective at addressing issues such as urinary incontinence and pelvic organ prolapse when they are performed in sufficient amounts. The research varies as to how many per day are necessary and for how long, however they are commonly prescribed as a contraction of the pelvic floor muscles, held for 3-5 seconds, performed in sets of 10, 3-8 times per day.