When a friend is hooking up with someone in the room, and then a couple of his (or, less frequently, her) buddies will come into the room naked, aside from a golf club & ball, and perhaps a swanky hat.
The two mid-coitus lovebirds will likely object, at which point those golfing are obliged to inform them: "Oh, don't mind us, we're just playing through."
Done more for comedic effect than any sort of malice. Negative effects to friendship can be mended with naked apology.
1.(Bobby hears Dee and Martin in the room hooking up, and immediately drops trou.)
Bobby's friend: Dude, what are you doing? Put your dick away.
Bobby: No can do. They're holding up play.
Bobby's friend: Christ, I'll go grab the putter.
2. Dee: What the FUCK?! Why are you guys here? And why are you naked? Get out!
Players: (In British Accent, audible whisper) Oh my. It seems the pitch is slightly elevated here, but he's judged it beautifully... magnificent shot.
Dee: Martin, say something!
Martin: It's fine, they're just playing through. And look at that stroke. So elegant (gives Bobby high-five).
To avoid sleeping for a long period of time and keep going in style - usually with some chemical assistance.
Or, to make a quick stop by a friend's abode to procure said chemicals.
1) "Welcome! Are you guys gonna hang out for a bit?"
"Oh no, we're just playing through. Are Tina or Charlie here at the moment?"
"No, but Molly is in the back. You want to meet her?"
"Sure! Bring her out."
2) "Mind if we play through?"
For a male, the act of coming whilst having sex, then carrying straight on and not stopping until he come's again.
Male #1: I have even mastered playing through!(comin and not stoppin till i come again!) ask my girlfriend! (an example of an actual text message received from my boyfriends best mate...don't ask...)