My doctor is a woman, which probably makes it easier. Every time I see her she asks me if there's anything I want to talk to her about (other than whatever issue I'm officially there for), and I've found it pretty easy just to say, "Yes, I want to talk about sex." I always practice my questions beforehand so that I'm really clear in my own mind what the question actually is, and also so I have the wording just right. It's easier when I don't have to think up my exact words right there on the spot.
I have a recurring problem with a blocked gland (I don't remember what it's called - I think of it as a lube-tube), so I've had lots of opportunities to practice talking to her!
HB