I know pre-marital sex is wrong, I know...it's just too difficult to overcome.
Hello again -Luca, I was baptized as an infant and raised (so to speak) in the church (and I LOVED it, for the most part anyway

). I went to Sunday School, was confirmed, went on retreats, sung in the children's, and then the adult choirs, and I attended church regularly through high school (you know, the whole 9 yards). Unfortunately, I walked out of church and into "the world" in college (into a ~very~ fun but increasingly sinful life/lifestyle).
Nevertheless, I continued to believe that I was a Christian (why wouldn't I have?) until the day that I actually became one, that is, 2 months after my 30th birthday. What a shocking, but WONDERFUL surprise that was
Here's the thing, like you, I KNEW that the sinful lifestyle that I was leading back then was WRONG, very wrong, and I became very convicted of that fact, and very afraid that God didn't want anything more to do with me (just FYI, there are few, if any, passages in the Bible that give us such clarity about what God's will truly is for us than this one does ..
1 Thessalonians 4:3-5).
To make this long story a bit shorter, there were two sins (really one most of all) that, just like you, I thought was just WAY too difficult to ever give up and walk away from forever. In fact, I told God that very thing on the day that I became a believer, that I didn't know how I could EVER stop (or even 'want' to stop) doing that sin, but that if He still wanted me anyway, I still wanted to be His child (and that we would just have to see where it would go from there).
What happened next was simply astounding/wondrous. First, God forgave my sins and I (immediately) felt like the weight of the world had been lifted off of my shoulders, permanently (because I KNEW that I had been forgiven of all of them by Him in that moment).
Then two, my desires were immediately changed, from wanting to please myself 24/7, to wanting to please Him 24/7 instead. So, the sin/sinful behavior that I thought that I could never walk away from (prior to becoming a true believer/prior to God "changing" me from the inside out, that is .. e.g.
Ezekiel 36:26-27; John 3:3; 2 Corinthians 5:17), ended up ~not~ being a problem for me at all, PTL. Granted, I was tempted, OFTEN, but God had changed my heart/mind/spirit in such a way that my strongest inclination became my desire to please, honor, glorify and obey Him, the One who died for me and saved me, the One who I now knew loved me and always wanted the very best for me
God can change your life too, but you'll need to reach the point of believing that He (not you) knows the "big picture" (of your life), that He TRULY loves you, and that He always knows AND wants what is truly best for you (far more than you could ever hope to know yourself).
In a practical sense, this means trusting Him enough to surrender the very reins of your life to Him (meaning both your future/eternity, as well as your life in the here and now) so that He can begin to transform you into the person who He created you to be in the first place
Praying for you!
May God bless you as you continue to seek Him!!
--David
p.s. - you said that you were afraid that you would lose your girlfriend if you stopped having sex with her. I don't know her, but you have to be prepared for that being the case (I lost my girlfriend, who I was literally a week away from moving in with, as soon as I told her that I had become a Christian and that parts of our relationship, the sinful parts, had to stop immediately, unless/until we got married).
Finally, here is a short quote (from theologian, Dr. Sinclair Ferguson) that I do my very best to live by, especially when I am not sure of the right thing to do. It has to do with trusting God so, hopefully, you will find it helpful too. (BTW, I'm sorry for making this post so LONG

)