It's embarassing but it happens, if you're with someone you're comfortable with, you can just laugh it off and carry on!
This. I'd also argue that kegal exercises don't really do much to help as it's not like a fart where you can hold it in and it doesn't happen because you have a lack of muscle tone or are 'loose' or anything. It's generally more to do with the position you're in than anything that gets the air trapped in there, and once it's in...it's got to come out!
I'd be pretty amused if my partner was seriously put off, I mean it's more than likely him that put the air in there when he was inserting his dick...so...deal with it! :p