The first sense to develop while in utero is the sense of touch. The lips and cheeks can experience touch at about 8 weeks and the rest of the body around 12 weeks.
Over the next few months, touch receptors start to form all over, including his genitals, palms and the soles of his feet by week 12 and the abdomen by week 17.
By sensing stimuli in the womb (e.g., as a baby starts to feel the amniotic fluid around him), the somatosensory receptors help to develop his whole nervous system.
Source: whattoexpect.com
