Sasha I've had dozens and dozens of lucid dreams, and yes some of them have been sexual.  One thing that really helped me to have lucid dreams was to make a habit of doing 'reality checks' through out the day.  You can do all sorts of things such as once every hour inspecting your fingerprints while asking yourself if you are dreaming.  Another thing to do it touch every doorway you pass through during the day and ask yourself if you are dreaming as you do.  Or every time you go to the bathroom do a reality check.  After a couple of weeks of doing constant reality checks every day you will eventually do a reality check while you are dreaming and have a lucid dream.  It works very well.