You're right. Sex DOES feel a lot better. It isn't a feeling you can really recreate from any form of masturbation, be it dry or lubed, with your hand or with a sex toy, because part of the feeling is purely psychological. It's part intimacy and part "holy shit, another person is spending time to make me orgasm." Once you experience it, jerking off gets even less satisfying.
I lost my vcard at 15 and now, after a series of relationships and flings during high school and college, jerking off just doesn't do it for me. I still jerk off regularly, but nothing can compare to having someone else do it for you. The worst part of my particular circumstances are that I don't have a problem getting laid. I have a few slutty friends that I could probably call this weekend and, between all of them, I'm sure at least one would sleep with me. But I'm in a relationship right now and - long story short - I have to wait a few more months until I can have sex again.
Before I got laid, back when I was a teen/preteen, I jerked off a lot more and I felt a lot like you seem to be feeling. The best advice I can give you is this: work on your own shit. Get in better shape (you don't need abs or big muscles, but if you can get them then getting laid becomes easy mode–I've never managed to get myself in that good of shape, but I supplement by dressing nicely–wear expensive clothes and women assume you have more worth, both financially and otherwise), read books on how to socialize ("How to Win Friends and Influence People" has sold a lot of copies and has stayed a bestseller for decades for VERY good reasons), and learn how to talk to girls (which, when you're trying to fuck them, is a different skill than socializing). Also make sure that your life is in decent order: do you have a good job? Do you have anything to be proud of that you can bring up casually? Have you done anything admirable? If you haven't, then you'd better.
If you can't figure it out on your own, then find someone to help you–either a male friend of yours that gets laid regularly, or a female friend that you trust to help you get laid.
Also, get ready for rejection. It hurts, but you NEED to deal with it. Ask a girl out that you can afford losing from your life. Do it face to face to face, never over text. Don't say "will you be my girlfriend" or anything like that. Just ask her out to dinner. Can't afford to take a girl to dinner? Repeat the above steps about self-improvement until you can.
I don't know how old you are, OP, but I hope to god you're still pretty young. If you start young it's SO much easier. I did most of the above in high school and it paid off in the long term. As long as you're younger than 40 you still have a chance, and even if you're THAT old, you might still be able to bang some gold diggers.
Good luck.