When we had kids it wasn't an issue in the early days until they get a bit older, when young you just wait till they are in bed asleep, when they got a bit older and started getting nosy I put a push button combo lock on our bedroom door. I'm into bdsm as well so I didn't want the kids walking in to find mum chained spread eagled on the bed and dad doing obscene things to her body let alone the dog.
When we Shifted house i did the same thing in the next home. Kids are all grown up now but i still have the push button combo lock on my door. It's additional peace of mind and security.
It also doubles as a safe place to store things away from kids, ie xmas presents, alcohol, money, 30kg bag of sex toys and equipment etc etc.
It gives you a safe and private room in the house.