Interesting question. It rises up 2 points.
1. Being asleep is a state of unconciousness, therefore there would be no concious thought. I've never been able to "control" what happens in my dreams. But then I think, is it a sin when a thought comes into your mind that isn't very Christian like (i.e. violence, sex, etc..). Because of our human nature, these things come into our mind. A dream is simply a series of thoughts. You can control a dream no more than you can control a thought poping randomly into your head.
2. But, Jesus said to "Love the Lord your God with all of your heart, and all of your soul, and all of your mind..."
The only solution I can find is that you try to keep these thoughts from coming into your head. What you see, hear, touch, and say are what come into your thoughts. If you watch sexual things on TV than you will have lustful thoughts. If you see a lot of violence in your life, than you will have violent thoughts. Try to keep your mind on Godly things and not worldly things. Now, this isn't always a problem for some people. It isn't for me. I've been playing FPS since I was 3 and I have never struck a person out of hate or anger and I've never been in a fight that I didn't talk my way through (or out of). So keep your mind on Godly things and you will have Godly thoughts.