I've always considered myself a pre-maure ejaculator, but I never considered it a chronic or clinical condition. I just attributed it to a lack of experience and control. The main thing I've learned from self experimentation and sex experiences is that RELAXATION is important.
This goes along with the anxiety theory. It makes a big difference to be comfortable with the person you are with and TAKE YOUR TIME. One thing I've discovered is that the more time you spend getting aroused the longer you can stay aroused - even after orgasm!
Don't just stick it in the moment you get hard.
I think thorough arousal actually has a desensitizing effect. I've had times during masturbation when I spent a long time just teasing and stimulating, not trying to just get off, and when I finally did come I just stayed hard and could come time and time again without going soft. I've had experiences making love when after a couple orgasms I felt I could go all night. It was mainly due to taking the time to enjoy being aroused. That also applies to intercourse itself. Try to make the sex act a journey of discovery, not a sprint to the finish line.
Go slowly at first and just get used to being inside. The moment you feel you're going to come, stop and squeeze it back with a hard kegel, possibly even take it out. I've found that after a couple of these i can push myself gently over the plateu without ejaculating, and after that its no problem. There is a loss of sensitivity but not enough to loose the enjoyment.
The real pleasure is in being able to take your sweet time inside, listening to her make all her noises, and watching her when you push her to the finish line first.
The reverse Kegel is also a technique I've heard works well. It goes along with the deep breathing and relaxation. Basically, instead of squeezing the PC muscle you relax and push out as though trying to piss hard. I've tried it with some success but it requires alot of control and conscious effort.
I once worked on a �naked people movies� film and spoke briefly to one of the male actors who was a pretty popular star in the biz. I asked him how they are able to last so long and he said that they just disconnect their minds from the act. They think of something else, look around the room and think about the decorations. Sort of defeats the point of sex, but then its all about performance for them.
I also notice that in just about all �naked people movies� they spend alot of time arousing the guy. The girl will spend 15 minutes stroking and sucking the guy. I think this is related to what I was explaining above, that it is important to get thoroughly aroused in order to last longer.