First thing I'm inclined to point out (and I always am when I hear "energy can neither be created or destroyed") is, that statement is old school, high school physics and not actually true.

While the "law of conservation of energy" DOES still hold, it actually only holds between the initial state and the final observed state of a system. In between those two on a quantum level, it is accepted by most physicists that energy is created and destroyed for very, very brief spats of time. The amount created and destroyed just tends to have balanced itself out by the "end". (See: Casimir effect and energy time uncertainty principle for some elaboration, there are other examples too.)

Now that said, it's actually completely irrelevant. The "energy" worked with in tantra, sex magic etc is not physical energy. Tantra for example, works with prana and it's subtle manifestations (apana, udana etc). These are "psychic" energies. On that level, there is no difficulty in "creating" energy with a thought.

I guess the question then comes, well...what's so important about sex to create energy then, if one can create it with just a thought. I can't really answer that...I haven't paid enough attention to it. However, in theories sex stimulates the two base chakras (svadhisthana and muladhara), these both in their own ways are considered "energetic generators". They (particularly Svadhisthana) churn out energy. This energy can then be moved upwards (this moving upwards is aided by deep sighing, moaning etc, in a way that helps relax the lower body). Or it can be released.

look at this way. if you rub two sticks together you create heat, which is a form of energy.