never orgasmed with my boyfriend, how do I tell him?

I'm 18, my boyfriend is 21. We have an amazing sex life and I enjoy it immensely but I've never actually orgasmed with him. I've never faked it but I don't think he realises I don't orgasm. There have been quite a few times where I've come very close but then he'll change position/speed. I'm not comfortable with oral so that's ruled out. Any tips on how to bring it up without making him feel bad? I feel embarrassed.