How to get a toddler in his own bed.

My 3 y/o is still co sleeping with me and my husband. We usually go to the couch or the other room for sex when he is asleep but lately he wakes up when we try to leave the bed. I'm not sure how to transfer him to his own bed because he cries and begs for mama and daddy. It's really putting a damper on our sex life. Any suggestions?