If you can get good at fully-lucid dreaming, where you suddenly become consciously-aware that you are dreaming, you can then take control of the dream and do what you want. This is very difficult to achieve for most people, however. Yours truly included. My most common occurrence of lucid-dreaming is not the desire for sex, but the ability to fly. So in that lucid state I find myself just jumping into the air and flying. That's a thrill in and of itself.
The best thing I can suggest is to keep a dream journal. (Yeah, just what traders need, more journals, lol!).
Keep it right by your bed, and the moment you wake up and can remember what you just dreamt about, write it down in the journal with as much detail as you can remember. Also note the time of day you are writing it down in the journal. Because as the day continues, you will forget less and less about the dream.
One final note...The wet dream/astral sex thing? For me at least, those feelings/emotions whathaveyou can linger for a day or two. It's a powerful experience.