Rich,
Yes, it is normal for the treatments to have more of a reaction as you go. It's a good news bad news kind of the thing. The reaction indicates it is doing its job. But it is not fun.
Talk to your uro about pyridium.That can help but I don't recall if it is OK to take while taking BCG. I think so but I am not a doc.
The other thing to talk to your doc about is the dose strength. It can be reduced significantly according to Dr. Lamm (pretty much the world expert and has done more testing than anyone else on BCG). He says even 1/10 strength has not been shown to have lower efficacy and there is less problem with patient severe reaction. You need a reaction but it doesn't need to be terrible to be working.
Google "Dr. Lamm" and BCG and you will find lots of info.
One link is:
www.bcgoncology.com/treatment/bcgInst.html
Read everything about BCG on that site that you can find.
Mike