The speaker uses several metaphors to talk about sex. The phrase "th' expense of spirit" in the first line, for example, frames sex as something that costs people their own "spirit" or vitality. Rather than framing sex as rewarding and uplifting, this metaphor insists that sex and lust do little more than wear people down.
Elsewhere, the speaker uses a metaphor to suggest that sexual pleasure is fleeting. In line 12, the speaker says:
Before, a joy proposed; behind, a dream.
In this metaphor, the speaker presents the "joy" of sex as something that fades as quickly as a "dream." Such pleasure, the speaker intimates, isn't even real; it quickly recedes, even though people spend so much time chasing it.
The speaker also uses a simile in line 7 that compares lust to a "swallowed bait," implying that sexual desire is like a trap of some kind. This trap has been "bait[ed]" so that it seems appealing. In reality, though, the trap has been set in order to make the person who "swallow[s]" it "mad." This outlines the idea that something as enticing as sex can, in the end, lead to agony.
The speaker also says that most people already know this but still end up chasing sexual pleasure. The speaker uses another metaphor to illustrate this destructive tendency in the sonnet's final two lines:
All this the world well knows; yet none knows well
To shun the heaven that leads men to this hell.
In this metaphor, "heaven" is the fleeting physical satisfaction of sex, and "hell" is the feeling of feverish desire that drives people crazy. These two things, the speaker says, are linked: the pursuit of satisfaction "leads" to suffering and torment. Ending the poem with this metaphor helps the speaker highlight the absurdity and irony of sexual desire, the promised pleasure of which actually leads to pain.