Hazrat Ali (Radiallahu Anhum) is reported to have said in his WASA (advices):

“At the time of sexual intercourse, the following intentions should be made:

1.Protection against zina (adultery)
2.protection of the gaza from strange women
3.Attainment of pious and upright progeny who will serve Islam.

When intercourse is enjoyed with the correct intentions, then not only is an act of physical pleasure, but it also becomes an act of reward and Sawab.

In this regard the gist of a Hadith explains that even intercourse with one’s wife is rewardable and regarded as Sadaqah. The Sahaba (Radiyallahu-Anhum) were greatly astounded upon this-that here a man is gratifying his sexual lusts and desires and yet he is being rewarded for it? Rasulullah (Sallallahu-Alayhi-Wasallam) explained to them that had this man gratified himself in a haram manner he would be punished for it, then why should he not be rewarded for satisfying himself in a Halaal manner? He will certainly be rewarded.