The hard part is altering the dream significantly without leaving a theta state and collapsing the dream. It all becomes about energy management. For example, two nights ago I found myself in a dream, and a few moments after I walked outside I realized the scene was too bright and noisy, and that my brain would wake up too much processing it.
So I had to hurry back inside, but I couldn't run either or that would release adrenaline. It took a lot of concentration and deliberate movement to get back inside before my dream fully collapsed, and it did collapse soon anyway minutes later.
With lucid sex dreams, it's similar. Energy conservation is key to extending the experience.
As an example, one thing I like doing is telling my dream subjects that they're in a dream and studying their reactions.
Well what are their reactions?