First, I would like to express that we shouldnt be having sex outside of marriage in the first place, and he feels the same way, so I am struggling with that on top of this BUT sometimes I think he is using the religion as an excuse not to have sex.
This jumps right out at me. This is a huge deal. I don't see how you're going to make any progress toward a better sex life if you both believe that you're doing something wrong by having sex. You probably don't want to hear this, but I really think you'd feel a lot better if you made a decision on this. You could try to ignore your religious issue, but if your religion is important to you, that probably won't work. You could just declare that there will be no sexual activity, but it sounds like that hasn't worked out.
Have you tried sitting down, discussing your religious scruples, and deciding how much sexual activity is too much? It might feel a little like high school, but it might really help you to have a firm idea of what you consider sinful and what is allowed. It's hard to give much advice without knowing which religion we're talking about, but you might be surprised if you approached someone of authority in your religion, like a preacher or rabbi. These guys are human beings, and some of them are pretty frank about sex issues.
I have to ask: is there a good reason you haven't told this guy you're not compatible sexually and you need to break up? If you read through here, you'll find a lot of people wishing they had paid attention to the warning signs before they rushed into a marriage with someone who had been showing signs that there would be no happy sex life after the wedding. I don't know if you're even thinking in terms of marriage, but your description of your sex life with this guy sets off alarm bells for me. It's one thing when you've been married ten years, have three kids and a genuine love for your partner, but your situation is different from that and you might save yourself a lot of heartache by cutting this guy loose. He sounds like he's awfully confused about sex, masturbation, religion, love and sin.
