Recently, while doing the Live Different study from YM360 I was looking for a way to illustrate how God created sex to literally bind us together (one flesh). So, I came up with this. Hopefully it will be a great illustration for you as well!
Supplies: 1 Graham Cracker, 1 Large Marshmallow, 1 Moon Pie, 1 Something to hide the Moon Pie in
Explain that the graham cracker represents a guy, and the marshmallow represents a girl. When the two have sex, they are physically and emotionally bound together. At this point, put the graham and the mallow into the container and pull out the Moon Pie. Continue by explaining that this is perfect and a part of God's plan...in marriage. However, it can be devastating in relationships outside of marriage.
Have a volunteer come up and try to completely separate the mallow and graham layers of the Moon Pie without destroying either or leaving any residue from one on the other (ABSOLUTELY IMPOSSIBLE!). When he is done demonstrate how this represents sex outside of God's plan. It's destructive to both parties involved and leaves them incomplete and broken.
Be sure to finish up with hope for the broken from God's restoration and healing! Hope this helps!