Haha! I can't have depraved sex in my lucid dreams, because I know I'd feel guilty about it when I woke up.
That's not to say I've not brought people I'd like to hook up with into the dreams, though. I do that a lot.
Basically, once I realize I'm dreaming, I immediately think, "DON'T wake up! Have fun!" and as soon as it's apparent I'm not going to wake up, I go ahead and figure out what I want to do.
The first time in this latest string of lucid dreams, I decided that I wanted to fly. Mainly because I'd been having these uncomfortable, unfortunate dreams (which were probably my subconscious telling me something) that everyone else around me could fly at will, but I could only kind of fly, then fall back to the ground. So as soon as I realized I was lucid dreaming, I went ahead and made myself fly, and made it so no one else could in the dream.
Since then, everytime I start flying in a dream, it immediately triggers me to realize I'm dreaming, and I can just pick and choose what I feel like doing.