OBGYN told me to have sex

I’m 36 weeks and at my checkup today my Dr said my cervix have not started to thin out. I asked if walking will help and he said that’s a good cardiovascular exercise but that’s about it at this point and won’t help since I’m not even dilated. I asked what will help and he said sex, and nipple stimulation. My only problem is my vagina is constantly hurting, like I have a 20 pound weight hanging off of it and sex is the last thing on my mind because when we have done it all I say is ow most of the time and I’m sure that’s such a turn off to my fiancé. Have any of you ladies been recommended to have sex and did it help you at all?