When attempting to construct a sentence which includes a reference to sexual intercourse, you are faced with a mind-boggling set of alternatives. Euphemisms and synonyms abound, each of them carrying its very own, distinctive mix of denotation and connotation. Sex can encompass many different levels - physical (pretty much compulsory), emotional, spiritual. As such, finding a word or phrase that surmises everything you want to say about a particular instance of sex is a daunting task.
I personally dislike the term "making love" because it is just plain awkward. It tries to be a single verb whilst selfishly occupying two words. The whole structure, and the way you shape the other words around it, has a certain wonkiness to it that puts me right off.
The tragedy is that if you want to describe sex as being a profound experience, full of meaning and emotion, and you think "making love" sucks, your options are quite limited. Fuck? Too crude. Screw? WAY too crude. You can use shag, but then it's just too tempting to exclaim "Do I make you horny baby!", and I think we can all agree, that constitutes a big step backward on the road to romance. You can cop out by using the lighter euphemisms "cuddle" or "snuggle", but those sound like you're trying to pretend there is no actual sex involved, not to mention that they are ambiguous. A cuddle could just mean a cuddle. So you have to use them in context, or accompany them with eyebrow-waggling (ugh).
In the end, the term "having sex" is usually the only decent choice left to me. And that phrase is grossly oversimplified.