All very helpful comments here.
Something I'd like to add. Although I can't really remember much of any of my dreams, sexual or not, what I do remember clearly is the whole web of fantasy I tended to get lost into. I didn't know why I did it or what I related to. It was very confusing and disturbing at times, because it would make me guilty and ashamed and question myself what is wrong with me. I finally managed to pin it down to one of three things - fidelity, sexual orientation or gender.
After realizing that being faithful to my wife and being attracted to her in particular and to women in general was an absolute certainty for me, even in my thoughts, I figured that it had to be my gender identity which was driving this. Of course, 'cross-dressing' etc were now obvious signs which added to it.
Now that I have come to accept it, that web of fantasy and the guilt and shame that came with it is gone.