IMO a buildup or slow burn is much better. If you can develop the characters into believable whole people in the reader's mind, then by the time the sexy action starts it's much more exciting.
There again, as in real life, there are times where you just want quick and dirty.
These are different forms of story. What they should have in common is some sort of hook at the beginning, preferably in the first line - something that gets you interested, even if it's not sexual action. Someone earlier mentioned in media res - in other words, into the middle of the action or story. Into the middle of the action could be in a speeding car barrelling down a dusty road at nighttime (see how effective the "barrelling" action verb is?). Or someone running into a burning house.
Into the middle of a story can be trickier, but a great way to not get bogged down at the beginning. A great story I read on Leslita started with the babysitter going to a particular house for the second time. The first time consensual sexual stuff was told in flashback, but the second time, where the story starts, the girl being looked after had a "I'm going tell mom and dad" attitude, which caused tension and conflict right from the beginning. Really clever.
Anyway, check out the first line of impressive stories - you'll probably see the technique in action.