This has been discussed a lot, and there are different opinions. Some hold that thoughts of sin (hirhurei aveira) are not punishable1, and some hold they are worse than the actual sin2.
Some hold that hirhurei aveira refers only to sins of idolatry and licentiousness. The mitzva to not stray after one's eyes and heart, which is the primary source of the issur of forbidden thought, is explained to be referring specifically to these two sins3
There is an important gemara:
Thoughts of sin are worse than sin, and the illustration of this is
the smell of meat (Yoma 29a).
There are many attempts to resolve this and explain it among Chazal. For example, the Vilna Gaon explains using the two words of Divine judgement mentioned in Avot 3:1, din and cheshbon, to refer to actual transgressions, and wasted opportunities respectively. Sinful thoughts are worse regarding cheshbon4.
For more resolutions, see for example this essay, where some explain that worse doesn't mean more punishable, but more difficult to fix. Some explain that the inner life of a Jew is of primary importance and in that sense, it is worse.
Either way, it is always best to listen to the advice of Chazal and avoid sinful thoughts, which generally would include deriving satisfaction from thinking about doing any aveira. One certainly is obligated to do so regarding the sins of idolatry, apostacy and licentiousness.
1 - Kiddushin 39b
2 - Moreh Nevuchim 3:8
3 - Sefer HaChinuch Mitzva 387, Sefer HaMitzvot Lavim 47
4 - Meshech Chochma Bereshit 18:28