If I start to bleed during sex what is the problem and should I be concerned. What do I do if this occurs?

See your doctor. Bleeding during intercourse is usually due to a cervical irritation or infection. It can sometimes be a sign of more serious problem such as cervical cancer.
See a doctor. Bleeding during intercourse can be due to tears in the skin, infections, dryness, inflammation of the cervix, precancerous changes, polyps, hormone changes, and cancer. If this is a recurrent problem a phyical exam needs to be performed with appropriate testing to determine the cause of the bleeding.