Let me ask you a question: Why doesn't God want us to do certain things -- those things He's labeled sinful or wrong? Is He just trying to spoil our fun -- or is it much deeper than that?
One of the main reasons God wants us to avoid things that are wrong is simple: He knows they hurt us. Sin always harms us -- always. We may not realize it; we may even deny it -- but the reality is still there: sin always hurts us. It hurts us personally; it hurts our relationships; it hurts our bodies and our minds and our souls -- and most of all, it hurts our relationship with God.
But God doesn't want this to happen, because He loves us and wants what's best for us. In fact, God hates what sin does to us so much that He sent Christ into the world to die for our sins. The Bible says, "For the wages of sin is death, but the gift of God is eternal life in Christ Jesus our Lord" (Romans 6:23).
Don't just feel bad about your sins; learn to hate them as much as God hates them. Then open your heart and life to Christ, and ask God to help you turn from your sins. You can't win your battles with sin alone; you need Christ -- and He wants to help you. And when temptations come, turn your heart and mind to Christ, and remember what it cost Him to purchase your salvation from sin.