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Generally, just don't think about it. You're embarrassed about your performance, and so it's on your mind during sex. You end up thinking "don't cum, don't cum, don't cum" and surprise, you cum earlier because of it. Stop thinking about finishing quickly, and focus on her enjoyment. As soon as you get your mind off the end, and keep it off that, your performance starts naturally going up.
Kegels, physical fitness, controlled breathing, cumming once before hand, etc. These help, but if you're not confident in yourself and your abilities, you'll never last long. And honestly, you shouldn't always NEED to last forever. Quickies can be just as satisfying for both of you if the mood is right.
One obvious cue that many males miss is that if you have sex with someone you don't find all that attractive, you'll often last a lot longer than you normally would, or you might not even be able to get off. Sexual arousal plays a big part, so a more attractive, sexier woman will shorten your endurance over some swamp monster. This comes back to what's in your head.
And ignore these idiots talking about death grips and such. Masturbating methods are personal preference, but you CAN damage your organ by being too rough on it. Some guys end up permanently screwing up their penises from continued masturbation with a death grip, and of course they last longer— You've either damaged yourself, or you've gotten used to a tightness and feeling that the female body can never give you.