A major step in dealing with this issue of sexual shame is asking forgiveness from yourself. This might sound peculiarly trite, but I have found that if men can own their behavior and forgive themselves for it, they are much more likely to move into the next few steps that will rid themselves of the sexual shame. Here is a very practical and successful way of doing this: Face two chairs toward each other. Sit in one chair (Chair A) and symbolically imagine yourself in the other chair (Chair B). Talk to the self in Chair B and ask forgiveness for whatever the issue is. Then move to Chair B and respond to yourself (hopefully forgiving yourself). Go back to Chair A and respond to being forgiven.
For more helpful therapeutic tools like this, join the Warpath group here!