I am not a parent but I have taught sex education and ethics. My suggestions:
Social:
1) Good news, you son obviously trusts you enough to talk to you. You're doing something right. Keep the communication open, make it a dialogue.
2) Don't freak out--curiosity is normal. It means your son is thinking--you've done something else right. This may be absolutely nothing but his curiosity.
3) Be honest & matter of fact, kids can smell beating around the bush.
4) Understand that when you were 14 and right now, might be different times. We are drowning in confusing, perhaps overpowering images that sexuality is marketed as the solution for everything, It is often an exploitive sexuality and one in which responsibility is left out of the equation.
Ethical/religious
5) You said you were a Christian. It is a very wide tradition but piggy back on the knowledge that individual decisions have consequences. There is free will. Human relations are to be ethical and honest at ALL times. He may be listening to his hormones, but he is also free to talk about it, and not do it. Ask him to speak to you again.
6) Tell,or remind him that sex is far, far more than a biological act. It might result in the creation of a totally new person (soul), and if done under the wrong conditions it very well could cause great harm to the both of them. It could ruin his future emotionally, economically and perhaps, socially. And even worse for the girl-if there is one. If he truly cares for her, he will think of this.
Biological
7) You son is most likely fertile, Tell him that. He could father a child. Stress that responsibility is what being a man is about, not making babies.
8) He exposes himself to disease and the rates of STD in the US are by far the worst in the industrialized world. (And you don't want to see the figures for 14 year olds.)
Emotional
9) He may think he loves his gf (did he mention on?), Explain the difference between love & lust. He will not hear you, but as a Christian, you've said it before.
10) Even if we do love a person, part of that love is knowing when NOT to have sex with them. Christianity describes many types of love, if you have a good minister who you trust, perhaps this could be discussed. (If not, discuss starting a group with other parents from your church).
10) Make sure he understand that what he hears in the locker room and what really happens are two separate things. Guys bull shit a lot, once again. its normal. (And so do girls...)
Practical, as a parent.
11) obviously, discuss this with your wife. I got the facts of life from both parents, family doctor & my clergy.
12) I would buy him some condoms. Let him demystify adult sexuality. He is exploring his body at this junction in his life and once again, that's normal. (Better his own, than somebody else.)
13) keep him busy as hell. And make sure you know where he is. I didn't have an evening out after 10 PM until I was 18. School, volunteer work, part-time job, chores.
Every study shows that abstinence doesn't work. What does seem to work is to be frank and stress responsibility. I think sex ed has to be integrated into responsible behavior for life (i.e. booze, drugs, etc.). It has worked in the European model (except UK) but it is divorced here in the US.
Hope this may give you some ideas. If something goes wrong, don't blame yourself. Pick up the pieces and move forward.