Well he KNEW she was saving herself for marriage from the beginning, so if he can't hold out he shouldn't have been with her in the first place. If she's not ready for sex, then that's a valid and brave choice. Not saying I could ever do it, but some people have deep religious values.
To original poster: You sound like you are probably young, and probably not ready to get married, so do the honorable thing and let her go before you hurt her even more by cheating on her. I know guys can only hold out for so long

She will be OK, yeah it sucks, but if you're not willing to wait for her and stay faithful, you need to tell her.