Sometimes when I am in relation with my wife (that is during intercourse) we hear the call for prayer. Are we committing a sin if we continue our sex at the time of Azan? If so, is there any penalty for us?

Praise be to Allah, the Lord of the Worlds; and may His blessings and peace be upon our Prophet Muhammad and upon all his Family and Companions. When the man hears the Azan while having sex with his wife, he does not have to stop copulating. He should rather continue until he finishes as he does normally. Then he should make Ghusl and head for the mosque. If he can join the congregation before it ends, that is good; otherwise he prays with his wife and children. This is so because interrupting sex can be hurtful for the wife. It may also cause him to be busy while praying thinking about the act he interrupted. Al-Bukhari and Muslim reported that the Prophet (Sallallahu Alaihi wa Sallam) said: When dinner is ready and the prayer is called, (Iqama) to start eating the dinner and do not hurry up. It is known that it is easier for the person to remain patient when hungry then when sexually aroused. However, the man should not have sex at the time of the prayer just to miss praying in congregation. Allah knows best.