Construct a regular expression in Python to find all consecutive digits in a sentence.
There are 3 sets of consecutive numbers in this sentence: 12, 22 and 33.
import re 

str = "There are 3 sets of consecutive numbers in this sentence: 12, 22 and 33."

num_list = re.findall(r'\d+', str)
print(num_list)
# Output: ['3', '12', '22', '33']