I've had this, it's apparently really common to put on weight in relationships. My previous partner was a prat about it and said "I'm not as sexually attracted to you now", though we were still sleeping together. I ended up losing the weight, nothing to do with him, and it made no difference in how he treated me. When we split up, he promptly got together with a woman who was basically a ten years younger version of me, and who was about the shape I'd been before I lost the weight. So some people will just be horrible about this. My current partner, who is probably a smidgen overweight himself and who makes me purr just by taking his top off, has never stopped telling me how incredibly sexy I am, and couldn't care less about my weight fluctuating a bit since we've been together. Bodies are awesome and we have a great deal of fun with ours together. Being happy, enthusiastic, affectionate and good at communicating is what makes for great sex, not being a certain shape.
There's a lot of feminist writing about body positivity around, you might find it's helpful to read that. Let's face it, most people's weight will fluctuate during their life, it's entirely normal. I've lost a few pounds lately and have a nice wrap dress in my wardrobe which is now too big, but I'm leaving it there, chances are it may well fit again one day. We are constantly being fed photoshopped images of underweight teenagers as if they were the norm, and it's hard not to feel fat in comparison with those. I found it really helpful to look at photos of gorgeous curvier women, to reset my subconscious idea of what "normal" and "sexy" look like. (There's not really any such thing as "normal", and "sexy" is entirely subjective, but you know what I mean.)
Try looking at the models on Curvety http://www.curvety.com/. It's a website selling plus size clothes that are really lovely, and the models are not only truly plus size, which is weirdly rare, but look amazing. For some reason, far too many plus size ranges take women who are an average "healthy" weight, who are bigger than conventional models but nowhere near plus size, and then put them in tents. The Curvety models vary a fair bit in terms of size and shape, and several are also women of colour, which again is far too rare. I spent ages looking at the dress section on Curvety when I needed an evening dress for a wedding, not because I was planning to buy them (I'm around the upper end of the "healthy weight" range at the moment, and short enough that standard clothing ranges still cover me when I'm a lot heavier, plus they were above my budget), but I'm bosomy and these women look far more like me than conventional models do. So it gave me a good idea of what sort of dresses would suit my shape, and generally cheered me up. Cleavage, for instance! When you're heavier, you are generally rocking fabulous breasts. Enjoy them! I bet your partner does! Another place that shows positive images of people in a variety of sizes looking sexy and happy is the Oh Joy Sex Toy comic. You may need to browse back quite a bit, there are guest comics and other topics and so forth, but here's an example of a sex toy review with a lovely curvy lady: http://www.ohjoysextoy.com/wevibe-tango/. (Awesome toy, incidentally.)
And then if you want to and can afford it, get yourself some lovely clothes that make you feel great, that you think you look great in. Don't worry about all those articles telling you that you can't wear X or Y because it won't be "flattering", go for something that makes you feel awesome. Colours that cheer you up just to look at them, fabrics that feel fantastic, maybe something that's really comfortable so that you can relax (I have to be really careful about this due to chronic pain, I have a lot of tunic tops that you can hide a TENS machine under and live in stretchy maternity bras because they're the only ones that don't hurt, and I still look damned sexy), or something structured like a corset if that turns you on. Curvety is on the pricier end, but there are still quite a few options out there. Bravissimo have a clothing range which varies but has a fair amount of gorgeous stuff, and you can find older stock more cheaply on eBay too. They're also the best people to go to for finding a bra that fits properly and have a good range of pretty bras in larger cup sizes, since high street stores have a ridiculously small range that only really suit smaller-breasted folks. Lovely lingerie is a mood-lifter for lots of people!
I wouldn't go for a bodystocking to hide your body during sex, you want to be enjoying your own skin. Maybe lower lighting while you get used to feeling more confident about your body again? Romantic lighting is always enjoyable, you can get really lovely fairy lights and candles and such. Or perhaps get yourself a fun toy that you can use together? There's nothing like a nice intense orgasm to take your mind off other things, and I'm not the only one whose partner thinks I look incredibly hot using a toy, especially when I'm thrashing around and making all sorts of happy noises.
As for exercise and weight loss, you do whatever makes you feel happy. Exercise is usually a good thing, so why not. Find something that you enjoy and will keep doing regularly, rather than worrying about what will burn most calories or target whichever muscles. Exercise is for fitness rather than weight loss anyway, realistically. With regard to weight loss, don't get stuck in a miserable dieting mentality, that's quite easy to fall into. The 3 Fat Chicks forum is a sensible one, and Intuitive Eating is a particularly good approach. That's about learning to work with your body, unlearning bad habits such as the deprivation-binge cycle, that sort of thing. I wasn't one for the deprivation-binge approach, but I did need to work on stress eating, mindless snacking and such, and it's helped me with that.
Best of luck, and I hope you are soon feeling happier and having a great time!