There's a better way.
I am one of those that Hollywood(movies) and New York(sitcoms) pretend don't exist: the romantic. The person who surely must be hopelessly naive if he thinks that sex can be something beautiful and exciting, not just prior to the first time, but every time from then on. But if I simply believed this about sex in general, I would be naive. Instead, my actual view, as with most of my personal beliefs, is very conditional. Depending on the situation, something can be very good or very bad.
Sex is a tool. Like any tool, it has the capacity to be used to create amazing things. But if used wrongly, it can cause horrific injury and even death. (I'm thinking of a circle saw as the metaphor, in case anyone's wondering :D ). If I approach a deadly tool thinking of it as an innocent toy that can only bring me pleasure, then it is inevitable that I will hurt myself, possibly severely, because I had no respect for the tool; I had not submitted my mind to the knowledge of how to use it properly. Sex, if used properly as it should, within a loving, committed-for-life, relationship between only one man and only one woman, then it can bring great blessings to the both of them -- even the greatest blessing of all, life. Sex, if used improperly, becomes an instrument of abuse and defilement, destroying the honor of both men and women and devastating the lives of single mothers and the offspring of men who were too cowardly to stand up and raise their families, as is the man's duty.
If there's a place for sex, then there's a place for sexual desires. And while the line between good desire and lust is nearly impossible for man to toe, and therefore should not be attempted, the fact that we have sexual urges is a divine message to us, telling us something very important about who we are and what our purpose is.
Watch these two short videos. They'll explain the purpose of sexual desire from a Biblical perspective.
If you want more, here's a bit of further background from Josh Harris.
Taken together, these clips give great advice. The message is this: your sexual desires are not supposed to be an obstacle to you living a godly life. Instead, they are given to you as a motivation to get your life in order so that you can marry and fulfill those desires within the appropriate context. Imagine your desires as rain. It does no good if the rain falls in the ocean, but if it falls on fertile ground it can enable plants to grow -- it can create life. If you have sexual desires, you know you're not called to a life of singleness. Consequently, then, when you pour your energies into the appropriate pursuit, you will reap amazing rewards and be so much more fulfilled than you could possibly be if you had chosen a promiscuous lifestyle.
Just like Ecclesiastes says, "there is a time for every purpose under heaven." There is a time and a place to "glut" on your sexual lusts, as RW Glenn says in his clip above, and that time will come when you have laid the groundwork and entered into a lifelong covenantal marriage relationship. Don't sell your future spouse short by wasting your sexuality on other people, real or imaginary. Pour yourself into them. Enrich their life and yours will be enriched also.
~ Rak Chazak