Here's a trick I learned which works for me: have sex twice in the same session.
The first time I'm like, bam. Gone in 30 seconds and no ability to control it. Wait five minutes and get back up again, and suddenly it's easier to control. I can go for 30 minutes, although my body takes a pretty big hit from all that exercise.
>>10's suggestion of masturbating before sex is a very similar strategy.
I'm not sure whether this works due to desensitisation, or whether it works because having one orgasm has a relaxing effect which reduces pressure.