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I think you are putting too much pressure on yourself to perform well and that is what the main problem is, you allow your fear of not pleasing her control your intimate time with her. It's only fair for her to be worried that this will continue into the marriage but it shouldn't be a reason not to get married. You could try breathing techniques almost like yoga before to get yourself in a calm state of mind and not think about your performance. The problem is that you are not use to this and now you feel awkward about it even before you get intimate, if you are feeling awkward, she will feel awkward as well. Try going slower, this is very important. This is one instance where speed kills. It will kill the moment, the passion and the mood. Go at a slow pace and this will prolong the time it takes for you to have an orgasm. Sometimes it may be you just rushing things a bit. Also the same speed can generate a build up of tension. Lubrication is also very important. There is little pleasure in high friction on sensitive skin.The best one to use is KY. It washes off in water and that makes the clean up easier. You have to have the right attitude, if you go into thinking you are going to fail more than likely you will. The right attitude is being supportive and passionate and that include your fiance's attitude also.
If all else fails then maybe you should try Viagra and see if that helps, you don't have to let her know at first you are taking unless it works then you can share that with her. You should be willing to try anything without being too embarrassed to try it. You would rather perform better than to lose your mate. I would try the breathing exercises first and see if that relaxes you and calms you down Close your eyes and think of something other than having sex like the day you met or the day you got engaged, a romantic vacation you took (if you haven't take one you should really think about taking a romantic vacation also) Everyday stresses can also affect how you perform also like stress at your job, money situation, constant arguing or talking about the intimacy problem. There are yoga books out there that tell you how to breath and relax also try aroma therapy. Consider the Viagra but ask your Doctor about it first and see if it is even an option for you.