I have had a handful of sexual lucid dreams (no pun in there anywhere) and they did not involve sex-sex, but more of playing around, doing sexy things, and even that wakes me up... Now reading these comments, I just had a thought:
Why not just ask your dream sex partner to be, to wait a while and have sex when you are done doing other things, at the end of the dream when you wouldn't mind waking up anyway?!? Kind of ending the LD in a high note, so to speak.