What an awesome question! People always talk about "The Talk" but talking to kids about sexually related topics is something that happens over and over again throughout a child's upbringing if a child is being brought up in a frank atmosphere. There is the, "where do babies come from" as well as the, "why can't I come into your room when-ever I want" and the, "but mom, so and so doesn't have a curfew because its prom night!" and everything in between.
I am assuming the kids know you and this neighbor are in an ongoing relationship already as I answer this. I know from previous questions there may be some complexities regarding dating etc. if they are not already aware. Of course, if they do not already know, you'll have to address that first. You also may want to be prepared for the talk about them having their own overnight guests and where your rules on that stand (and why things might be different for you than they are with them). It may not come up, but teens are teens so I always figure it is just good to be prepared.
In my experience the more forthright and frank you are (without the details) the more willing they are to talk to you about their stuff - something you really do want them to do even if it is hard to hear.
At 11/12, he should know the mechanics of sex, because his body is about ready to change with that as the biological end goal (if things haven't started already). Since this is the case, I'd suggest you just be frank about it. "_ I'm not comfortable with you entering my room at night, because I am in a serious relationship with _. I feel what we do together is between us and should stay that way so my room is simply off limits without a confirmation from me that you may enter the room."
At the same time, I am answering this way, not knowing why your son wishes to come in at night anyway. If your son really wants to have some cuddle time still and that is why is coming in you may want to find a way to arrange for that too. In my family, we liked to cuddle up and read a family book together in our pjs in the morning. (I think my parents enjoyed their delights in the morning because we weren't allowed in before 8:00 on Saturdays and before 6:00 on School days) Sunday was a day when Mom and Dad refrained so we could all climb in together and read a book or the news together that way we got our cuddle time too. Of course, by the time my sister and I were about 12, we weren't so interested in that any more anyway, but Sundays we were allowed in. You might make a similar agreement with him. Maybe Tuesday's are for the kids if they wih to use Tuesdays and the rest of the week the bedroom is off limits or something.