I know that it has something to do with clit stimulation, and I've attempted to work with that in other ways, but now I'm thinking there's a mental block going on. I kind of hate the idea that I would have to shove my boyfriend over and roll on top of him at some point in every sex session, yet I REALLY hate that I get worked up and then he comes and... then it's over.
That's another thing... if I'm not done but he is... do I say something? To be totally blunt—he's going limp, I can't exactly ask him to keep going—and what a slap in the face to just straight up say "I'm not finished, I didn't cum."
First off, you've got the right idea with practicing and exploring. You might want to bring a vibe into the mix, too, and see how that does you. You and your man can explore around with it and see what gets you off, or you can apply it clitward whenever you feel like. I know a lot of women can't EVER come from penetrative sex, and usually get either fingered or eaten out to orgasm before the in-and-out ever gets started, so you guys could try that, too—then any orgasms you have while you're fucking are just gravy.
As for whether to say anything if you haven't gotten off: it's up to you. If you want more, say so. There's no reason he can't go down on you after, or keep going with his hand or the aforementioned vibe. Or if you can tell things aren't progressing at the same pace, stop and try something you get off on before he comes. It's not a slap in the face! It's just how bodies work. There's no reason to make it about him being a failure or something—if you're relaxed and assertive about your needs, he'll probably feel relaxed about it too. It just takes practice to get comfortable saying what you want in a non-accusatory way.
It has been my experience that while penises come in a fairly binary way, the suite of girl parts have more of a come continuum, and it's very possible to experience lots of pleasure and enjoyment but not get to that very peak of orgasm every single time. Some days you might never get there, but you shouldn't feel bad about wanting to try until you're bored of it.
I do think that doing some exploration about what you like will help, as will frontloading the experience with lots and lots of foreplay. Practice makes perfect. Luckily sex practice is a pretty good time.