I have had problems with sex in my lucid dreams, I usually wake up before anything happens.

Last night I had a short LD. The dream was blurry and whatnot, and there was a woman. I just thought whatever and did what I wanted to. But this time I actually did nothing. I let the woman do all the work. With my thinking power I forced her to hmm hmm, you know what I mean... I just know it was very enjoyable and the 'job' lasted quite long

Anyway, the point is: If you want to have lucid sex without waking up try not doing anything. Let your partner do all the work. I'm sure she/he won't mind You just have to be confident that your partner wants you... And it'll happen.