QuestionI never had sex before, but I think about it often. Is that a sin?
At some point after puberty, people become aware of sexual desire. It is that desire that causes people to search for an acceptable way to fulfill the desire. In other words, sexual desire is what drives many people toward marriage, just as your thirst encourages you to seek out a drink. Therefore, thinking about sex in a general way, wondering at the feelings, and wondering what it will one day be like are all a part of being a human being.
The problem we face is that society has used the strong desire for sex as a marketing tool. Nearly everything is sold by invoking a sexual theme. Songs have to speak explicitly about the act of sex, movies have to feature at least one gratuitous sex scene that really has nothing to do with the movie or the plot line, books have to mention sex, etc. -- all for the sake of producing greater sales. It continues because people love to have it this way.
However, the result is that children become aware of sex at an early age and it impacts our thinking in many ways. It is hard not to think about sex when you are constantly bombarded with images of sex.
Thinking about sex is not wrong in and of itself, but it can easily become wrong. Jesus warned, "But I say to you that whoever looks at a woman to lust for her has already committed adultery with her in his heart" (Matthew 5:28). This can apply to women as well as men. Therefore, to look at someone with the thought of having sex with them is no different than actually doing the act. It is one thing to daydream of one day having a healthy relationship with your husband (whoever he might be), but it is another to contemplate having sex with that handsome jock in math class.
A second problem is that dwelling too much on sex fans the fire. Have you ever gotten an taste for particular type of food. The more you think about it, the more you want it, even though you are still full from your last meal. Most desires operate in this fashion. In the Song of Solomon, the heroine is engaged to be married and she finds herself slipping into daydreams about sex. In each case, she pulls herself up short and delivers this warning, "I charge you, O daughters of Jerusalem, by the gazelles or by the does of the field, do not stir up nor awaken love until it pleases" (Song of Solomon 2:7). Love is one of those things needs time to develop and it doesn't develop well when it is rushed. Too many have the idea that they can "make" another person love them by doing the things that people who are in love do, such as sex. It doesn't work that way.
So, yes, it is a pain to have to keep a rein on your thoughts. Satan will constantly tempt you to take your thoughts further than they should go. But this is a part of being an adult -- learning to exercise self-control. Little kids what instant gratification. Adults realize that many worthwhile things are worth waiting to receive.