You can hold the sperm in if you want too however there's really no need to hold the sperm in your vagina to become pregnant.
If you're having intercourse with a guy and he has his penis inside your vagina and he ejaculates into your vagina then the sperm automatically swim on up into your vagina to fertilize the egg.
So you can still become pregnant without holding the sperm inside your vagina but it certainly won't hurt anything if you want too.