You're getting too excited too fast. Relax, slow down and take your time. Any given time is not going to be the last or only time you have sex, so don't get so worked up over it. You climax when the brain gets enough stimulation, not your penis. It is just there to send signals to the brain. The brain is getting a lot of other signals at the same time. From all your senses. Foreplay is great, but it can get you so stimulated that it takes very little to reach climax.
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Go to an adult store or web site and get your self some Desensatizing cream. it will make you dick a bit less sesitive, but make sure you use a condom because it will desensatize her too.