You see, when we get saved, we are immediately saved from the penalty of sin. Remember, "the wages of sin is death" (Romans 6:23). Christ paid that price on the cross, and when we accept Him as our Savior, we no longer owe that sin debt.
As we live our lives each day, we are being saved from the power of sin. In other words, because the Holy Spirit lives inside of us, we are different than we once were and therefore long for different things. When we do things we shouldn't do, the Holy Spirit reminds us that it's wrong and convicts our hearts about our actions. As we grow closer to the Lord and learn more through His Word, we find that our longing for sin lessens more and more. Because we love the Lord and desire to please Him, our pull towards sin is decreased.
We are, however, still living in the nasty now and now, and that means sin is present in this world and therefore in our lives. Though we do not want to disobey God, we often fail and fall into temptation. Even the apostle Paul said, For I know that in me (that is, in my flesh,) dwelleth no good thing: for to will is present with me; but how to perform that which is good I find not. For the good that I would I do not: but the evil which I would not, that I do. Now if I do that I would not, it is no more I that do it, but sin that dwelleth in me. (Romans 7:18-20) Our fleshly nature is sinful, and because of that, until God calls us Home, we will continue to sin. However, we can take comfort in the knowledge that one day, when we are called up to live with Him, we will be saved from the presence of sin, for there is no sin in Heaven.
In the meantime, we must do what we can to control our flesh, and the best way to do that is to surrender our lives to God. Give Him control. Go where He leads. Heed His voice. Study His Word. Learn His ways. And most of all, learn how to say, "I'm sorry, God. I've failed you again." He'll forgive you, pick up the pieces of your shattered life and set you back on the right path. He's a loving God, and even our sin can't separate us from that love.
For I am persuaded, that neither death, nor life, nor angels, nor principalities, nor powers, nor things present, nor things to come, Nor height, nor depth, nor any other creature, shall be able to separate us from the love of God, which is in Christ Jesus our Lord. - Romans 8:38-39