Question:

Does a couple always have to have the intentions of conceiving a child everytime they engage in a sexual union?

Answer:

From the wording of your question "Does a couple always have to have...," it sounds as though you are a bit burdened with "what you should be thinking" during those precious moments. I posed your question to the renowned Kabbalist Rabbi Eliahu Leon Levi, and after he answered, he noted that the couple must first and foremost have simcha (joy and pleasure) in their intimate relations. But first his answer:

At the time of marital intimacy, one should be thinking that his marital union is for the sake of Hashem. Regarding intentions about offspring, whatever Hashem sees fit to give, He will give. If one wants a boy, one should perform many mitzvoth and acts of kindness, and one should be humble, and careful not cause pain to others in any fashion.

One's thoughts should be focused on performing marital congress for the sake of heaven (l'shem shamayim) and for the sake of fulfilling the commandment "Be fruitful and multiply."

Just to strengthen the opening remarks, know that Rabbi Leon has emphasized again and again that a husband should perform the act of intimacy with great joy, enthusiasm and vigor. He must relate to his wife in the minutes leading up to the holy union with great love and sensitivity to arouse her enjoyment and make sure her pleasure is complete.

Rabbi Leon completely opposes the opinion which says that a person should perform the act as though "kfao shed" (he is being forced to perform the act by an evil spirit). He warns that someone who performs the act of marital intimacy in such a way, thereby denying his wife her enjoyment, will himself bear children who are evil spirits.

Hashem should answer all your prayers in an favorable manner.