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This may sound really weird, but whenever I try to have sex in a dream, I'll wake up before achieving anything. I've gotten about 15-20 lucid dreams so far and it's the same thing every time.
It even got to a point where I KNOW it's going to happen, which cannot be good. It's as if my brain knows that sexy time means time to wake up. :(
Do you try to stabilize before engaging in sexual activities within the dream? That could be the thing, because you know it's going to happen, you're creating the thought in your brain to naturally prepare and make you excited for the event.
The best thing, in my opinion, is to stabilize beforehand (when you're lucid), and to not look forward to it too much (the sexual activities that is). Try to look forward on getting lucid without the thought of having sex, and gradually build up to where you can have your fun. It's possible to reach whatever ending point you want to achieve if you just believe that you will have a stable and calm sexual dream.
Try to observe your environment, the things around you, the people around you. Focus on your own dream body, and take in more detail. Once you do that, tell yourself you will be calm through the lucid dream.
Hope this helps.
Yes, agreed with Linkzelda, try to keep stabilised and aware of your dream senses during the lucid sex. Your biggest problem is most likely being focused on one particular sense- touch. This will throw your balance off.
In my first lucid dream I actually forget to stabilize until after I had started. I remember though after I stabilized it was not only a much more enjoyable experience since it was vivid, but I didn't have any problems with staying lucid.