Abstinence is unhealthy. If you really wanna abstain, fine. But you shouldn't feel guilty about getting physical pleasure. I say let him finger you. And if it leads to sex just make sure you use a condom.
Honestly, though, your relationship sounds really weird. Why would he say he had a creepy question for you? What does he think is creepy about it and why would he ask it if he thought it was creepy? If you're in a relationship you shouldn't feel so uncomfortable talking about sex.