One of the best ways to naturally learn how to last longer during sex is by exercising your PC muscle.
The pubococcygeus muscle (PC muscle for short) is responsible for ejaculatory control.
The reason most guys cannot last very long during sex, is that they have untrained and very weak pubococcygeus muscles.
So how can you learn how to last longer with the PC muscle? By doing simple exercises designed to strengthen it.
Here's how it works:

1. First you need to locate this muscle.
   It's located between your testicles and anus.
   The way to pinpoint it exactly is by stopping your urination flow.
   The same muscle responsible for ejaculation control, is the same responsible for ceasing urinary flow.
   Give it a try and immediately you will feel the muscle at work.
   
2. Once identified, you want to start with simple "flexes".
   Just start flexing the PC on it's own to identify yourself with it even further.
   You will likely realize how untrained and weak it is, as most guys cannot flex their PC's for very long.
   
3. Start a routine.
   Try shooting for 10 flexes, resting for a moment then 10 more.
   Do 3-5 sets of these.
   Next you want to hold your flexes for as long as you can for each repetition.
   It's okay, and normal for you not to be able to complete all the sets.
   These are goals you should work towards.
   
4. Put it to practice.
   Either through masturbation or actual sex, put your PC training to the test.
   Once you feel ejaculation coming on, flex the PC.
   You will notice your ejaculation will be held off, and depending on how much strength you have obtained will determine how long you can end up lasting.
   Many times guys will go back to practicing their PC flexes, or even get on a good routine which offers other exercises to speed up results so they can learn how to last longer quickly and effectively.