Having sex is more sensitive for the penis then masterbating... when masterbating you can control this right? If so you need to learn control... learning how to stop or slow down so you don't get to the point to where you can't stop the ejaculation point..
I read in a book that people who masturbate often, tend to finish early during sex. I don't know how accuarate that is. I guess (in my opinion) it depends on the mood.