Pain during sex?

So, this is a recent thing for my husband and I. In the last few months I've had an, almost burning sensation when we have sex. The best way I can think of explaining it right now is like he's put icy/hot on his penis before sex. Does anyone else have this issue? It's been very recent for us, so I haven't thought to go to a doctor. I just wondered if anyone else is having (or has had) this problem, and what the cause may be...