I've heard this from more than ex-jw's. Lots of catholics have this problem, too.
Hey, you know, you gotta figure, if God gave us the ability to enjoy it, then we need to enjoy it. I figure, we enjoy other things without feeling bad. A good beer, a good cigar, a good meal. So, why should sex be any different.
Masturbation really can help you figure out how your body works. I'm a guy, and like most guys, we know how our body works. Heck, we go through life with this pendulum swinging in our pants as we walk down the street!
Gals are different. So, what you have to do is figure out what feels the best. Do that alone. Or better, do it with someone else. It is more fun. :-) Let that person please you. Tell them what feels best.
Some women take longer than others. I know one gal who can't cum unless she's having regular sex. It's just what makes her feel good. Go figure? But, it works for her.
Just remember. It's your body and your feelings. Don't feel bad about letting those feelings work for you.