In case of teens it is always better to have a heart to heart talk. I don't think it would help to simply take away their phone forcibly, they would become repulsive to you. And they get more curi ous. Rather let them know the problems they might get into, tell about a similar incident. And make them understand that since you are concerned about them. And give them a chance to rectify and tell them you are going to trust them to behave responsibly. Leave the conversation at that, give them time to ponder.
Teens need an environment where they can discuss and talk about things, they look for friend in parents. It is a stage where parents need to be very sensitive and understanding to help them cope up with their adolescent issues.
Sex is a very fragile topic for a child and a parent to talk about, that's why kids find other sources for their curiosity to be fulfilled. I searched the web on how to handle teens who are sexually acting out, then stumble into this articl which says Parenting Teenagers who are sexually acting out. It says there, "it's often hard for parents to see their children as sexual beings, which makes it even harder for them to help their teens sort out issues related to this. Parents learn while their children are young to let them make their own little mistakes. As children grow up, it's inevitable that the mistakes also get bigger. When teens sexually act out, it's one of the things parents often know right away how to handle."