It depends on what type of substrate you are using and how thick your coating might be.
If your coating is relatively thick (200 nm and above) you can measure by SEM, by making cross-section. (by cutting a sample and placing perpendicular to the electron beam). Also by using AFM or profilometer, if you can etch part of the coating by making a sharp edge.
If your coating is relatively thin (from few nanometers to hundreds) you can use ellipsometry, but for this technique, your substrate and coating must have different refractive indexes and you have to know them. I.e. calculate the thickness of coating with an unknown refractive index is really complicated. Nevertheless, this technique gives most accurate results.
I used an ellipsometer. It a simple and easy technique to measure film thicknesses.
You could also scratch you PMMA film and measure the depth of the scratch using an AFM. One of my colleague used this technique and obtained similar thicknesses than the one measured with the ellipsomter.
You can use nanoindentation technique to measure the thickness of film materials. The substrate effect gives the information about film thickness. You can go through my articles for a better understanding of substrate effect.
Other reference. Anthony C. Fischer-Cripps Nanoindentation book.