Epictetus makes a strong case for restraining your impulses for experiencing pleasures. On the short term, indulging in a pleasure may feel good, but in the long run it is better to act with self-control and discipline. In part 34 of the Encheiridion, he gives very clear instructions how to do this.
First, take a step back and pause. After that, evaluate your options. If you indulge, you may feel good now, but regret it later. If you abstain from the pleasure, you will be happy and proud, because you have proven to be stronger than your desires.
Whenever you get the impression that something is a pleasure, as with all impressions, be careful that you are not carried away by it, but let it rest and take a break. Then, bring to mind both moments in time: the moment you’ll enjoy the pleasure, and the moment after you’ve enjoyed it and you’ll regret it and reproach yourself. And set against these moments how you will rejoice and praise yourself if you abstain from it. And if you believe it is proper to engage in it, take care that you are not overwhelmed by its appeal, pleasantness and seduction. But set in contrast how much better it is to know that you have prevailed.
By abstaining from pleasure, you take control over yourself and over the situation. It is not always wrong to experience pleasures, but it should not go at the expense of your strength of character and your pursuit of a virtuous life. Be strong and withstand undue temptations.