Talking about sex with your sister may feel awkward , but if you're obviously anxious and embarassed, she'll be even more so. You might take time to practice what you're going to say, or at least how you're going to start the conversation, maybe when you're driving alone or taking a shower without anyone else around. You don't mention your parents - maybe you're concerned that they're not giving her enough information, which is why you want to talk with her. Just make sure that you're not going to jeopardize your relationship with them or get her in trouble. Maybe now is a good time.
Every couple has different rules.
Most heterosexual couples today, and many gay and lesbian ones as well, consider themselves monogamous , meaning that they have sex only with each other. It's important for couples to agree on what the rules are instead of trying to read each other's minds, then getting hurt and angry when you find out that you had different assumptions to start with. Well personally, I don't recommend using fear to teach about anything at all, except maybe hot stoves and drunk driving. People make bad decisions when they're scared, especially when they don't have all the facts. Information usually seems to be a better tactic.