neighbours loud sex!

Here's my scenario. Just moved house. The new neighbours are situated pretty close in proximity. They've been built to squeeze as many houses in as poss I think. I have three children, and their bedrooms are along side ours (fenced between obviously.) the neighbour is so effing loud when she is having sex it wakes my 3 year old! I swear we have windows closed, and fans on- (cos it's hot here in oz) and he still gets woken by her cries/moans/shouts/etc. (lol) should I do anything!? I've contemplated shouting at my window, telling her to shut hers!? Advice please!!!! ???so awkward!