Masturbating before hand will help hedge the desire to ejaculate early. If you know you are going to have intercourse then masturbate prior.
Found this on wikipedia:
Most sex therapists prescribe a series of exercises to enable the man to gain ejaculatory control. While the exercises are intended for men who suffer from premature ejaculation, other men can use the exercises to enhance their sex lives. By far the most common exercise is the so-called start-stop technique. While the technique varies, the purpose is to get the male accustomed to maintaining an erection for an extended period of time while gradually increasing sexual tolerance. In doing this exercise, the male obtains an erection through self-stimulation, or masturbation. After achieving an erection, he stops stimulating himself until he begins to lose his erection; at that point, he begins to stimulate himself again. Gradually, over a period of several weeks, he is able to stimulate himself for longer periods of time, eventually gaining ejaculatory control. In order for this technique to be successful, the male should avoid feeling discouraged if he ejaculates rapidly; instead, he should use his sexual responses to learn how to vary the technique in a way that most benefits him. Another variant, for example, is to stimulate the shaft and frenulum of the penis, exploring the glans more as control improves.
Sometimes wearing a thicker condom will also make you less sensitive and therefore able to last longer!
Hope that helps!
Matthew

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