I can confidently answer your question as I almost always resort to sexual adventures when I become lucid.

It does not feel any different from real life. It feels EXACTLY the same as real life. The only 'difference' is the scenarios you put yourself. The sex I have with Jessica Alba on a kitchen countertop is clearly going to be better than the sex I'm having with my ugly ass girlfriend in my twin size bed. And, yes, you will ejaculate in real life, and that is often how I am awakened from my dreams - with my dick throbbing.

Also your question errs. Nothing should feel different in the dream world when compared to the real world. Your dreams are based off of your real life experiences and can mimic them perfectly.