Approach him in neutral territory when neither of you is upset or pressed for time. This makes it a calm environment where you can discuss what you'd like without making it seem like it's an attack on him. Arrange a romantic setting so he can understand visually what you want when you ask him to be more romantic.
Explain how much it would mean to you if he were more thoughtful. Don't be subtle, but avoid sounding accusatory as well. Give examples of what you like so he knows exactly what to do, but give him options so you can still be surprised. For example, "I would really love it if there were a little more romance in our relationship, like candlelight dinners and cuddling in front of the fireplace" instead of "You aren't romantic enough." Don't be angry if he continues to ask for examples of what you're looking for, because this will help him learn in the future.
Issue a friendly challenge. Appeal to his competitive side and offer him something he really wants if he can beat you at the "romance" game within a certain period of time. For instance, let him go on a boys-only golf weekend if he can "out-romance" you within a month. If he loses, then he can go on an antiquing weekend with you instead.
Create coupon books filled with a dozen things he would like and a dozen things you'd like, and then exchange them. For every coupon he uses, such as a romantic dinner for two at a nice restaurant, he gets something from you in return, such as a fishing trip. You can also trade affection or services, such as massages, if you would like.
Take your time. Whereas you know what you want, he is still learning. Be patient and allow your boyfriend to get there in his own time frame. In the meantime, keep showing him by example what you consider romantic and keep the lines of communication open.