I have the same issue…and I’m an old man compared to everyone who’s posted on this thread. I’ve ruined several of my lucid dreams because I was uncontrollably sidetracked by sexual urges.
So the bad news is it tends to cut my lucid dreams short. The good news it…I haven’t lost my sex drive yet (event though I’m older) 
Some time ago i was eperimenting a lot when lucid, e.g. with moving from one place to another with will, manifesting stuff etc. When that didnt work, my mind immediatly switched to wanting sex. It was like, ok this didnt work, lets have some sex instead. And what was funny is that i didnt have any problems manifesting a partner to have sex with. Only problem was that i was waking up before the climax!
It seems our desires becomes our focus when we dont have goals, as several others have pointed out. I personally dont have a problem with some sexual LDs, but i dont want to use all my LDs for sense gratification. Also, i made the discovery that I didnt like to manifest a DC for sex as the DC was almost just like a doll that i seemed to control. It felt like i was having sex with myself afterwards and it felt a little bit creepy. 
Try masturbating before going to sleep. Your id is very unrestrained in dreams, and the id is responsible for your libido. If you can relieve some of the sexual chemistry from your brain, it’ll help. An orgasm should do that.
I’ve had many FLD’s in which I’ve tried as hard as possible to have sex. Obviously being a fourteen year old boy, sex is on my mind a lot, but it’s actually getting irritating.
For example last night I had a dream where I tried to do it with one guy (not very attractive at ALL I might add), but he pushed me away. I then walked into a room full of hot celebrities, and made out with Taylor Lautner (AWFUL kisser) in a crib…? Anyways, the dream was a FLD, and I’ve never experienced a strong LD… 
I have dreams sometimes where when I am put into that position, then I realize I am dreaming, I go on with whatever I am doing anyhow.
Sometimes this is having sex. I have never had the problem with not finishing, in fact, I can wake myself and I feel the orgasm in my awoken body. It’s something that I have gotten pretty good at, sadly.
If you’re determined, and it takes practice, I think that you can manipulate your dreams the same way and either get what you want out of them (whether it be experiencing orgasm, or go flying, or whatnot). But it takes practice.
I suggest just going along with the dreams your subconscious has already set up for you, and then if you merge into that lucid state, manipulate it bit by bit.
-lux
Lol, this is quite an interesting “problem” 
I can’t say I have this issue myself, but some times when dreaming my dream will stray completely from the topic at hand and turn to sex.
Not that it’s that big an issue, it just forces me not to get things done that I would much rather do, considering, like you said, sex is something you can to in real life.
If your really having trouble with it, I would say (like some others have pointed out) masturbate before sleeping, if that doesnt work, try forcing your intent before you go to sleep. If your mind isn’t on sex, but was at a previous time, you may be less inclined to stray to that topic.
Same with me but it’s usually just me having sex or do drugs
Yup yup. I think this would work quite well! At least from my WL experience I can say that after masturbation I’m not all that interested in sex anymore. But then again I rarely have sex in my dreams, so I don’t know if it works for someone who’s “sex-obsessed”.