"Flee from sexual immorality. Every other sin a person commits is outside the body, but the sexually immoral person commits a sin against his own body."
1 Corinthians chapter 6, verse 18.
It looks like impure thoughts and actions damage us, upset God, and lead down all the wrong roads you want but will wreck on. So check yourself before you wreck yourself (yes, I found an actually appropriate use for that quote. Be amazed.)
"For you may be sure of this, that everyone who is sexually immoral or impure, or who is covetous (that is, an idolater,) has no inheritance in the kingdom of Christ and God."
Ephesians chapter 5, verse 5.
It also looks like cheating and sexual impurity (orgies, sex out of marriage, bestiality, sexual role-play, etc.) have no room in the Kingdom. Therefore, we who willing choose/engage in such immoralities will not have the kingdom either.
Is temporary pleasure now that pains God worth an eternal loss of God-filled pleasure that comes later? Will you chose your own wants, or will you choose what is actually right and that which leads to good for you and others? Why are we choosing anything else?