I don't worry about it that much, but do try to be somewhat, I wouldn't call it discreet, but would lock the door, and always taught the kids to knock if the door is closed - I don't care if they know what we are doing but certainly don't want them walking in unexpectedly and strong preference that they not hear us much.
They are grown now, not traumatized and pretty open with me so it seems to have worked out.
I think my position when they were younger can be summed up as: sex is normal, it is for adults, stay away lest ye see something you really don't want to.