Your therapist is not helping you one bit. He crossed a sacred boundary, one that is well-defined by our professions' ethics, and furthermore, often found in state law.

As hard as it might be, you need to end this relationship immediately.

You are very insightful and correct in understanding that the sexual relationship cannot continue indefinitely, and will eventually cause more pain and hardship for you when it does end. So rather than wait for it, for him to control when and how it ends, you must do so immediately.

Next, go find yourself a new therapist. If you want a virtual guarantee of staying away from this kind of relationship in the future, stick to a same-sex therapist.

Finally, while you may not want to, have the resources or energy to do so, it would be very helpful to the profession (and perhaps others who will inevitably come after you), to report this therapist to their licensing board in the state. There is absolutely no excuse for their behavior and they need to be reprimanded.

Best wishes,
John