Do just what you said, say no. You aren't obligated to have sex, and shouldn't feel forced to. Explain that you're not comfortable with it yet, your personal or religious feelings on the matter, and he should respect that. It doesn't have to be a big ordeal, and saying no is not offensive. Any decent guy will respect your decision to wait, just as any decent girl would respect a guy's decision to wait.
I re-emphasize: SAYING NO IS NOT OFFENSIVE and
I admire Your decision to wait. "Having Sex" sounds so casual to me. I prefer "love making" and "making love" with the man I'm married to or at least I know we're going to marry......and it takes more than four months to grow and build love (anyone can "have sex" - "making love" is a different thing indeed!! One doesn't "fall" in love - we "build" love)
"Any decent guy will respect your decision to wait, just as any decent girl would respect a guy's decision to wait"
Tell him that^^^^
If he doesnt respect you, hes not worth your time.