In short, the answer is we have no freaking clue. Humans have had sex pretty much everywhere imaginable, so it may come as a shock to you that no human has had the pleasure of having sex in space. It probably hadn't even crossed your mind, but being that humans are looking to find a new home among the stars, just in case something happens to Earth in the future, it’s kind of important to the survival of the human race that we know how procreating in space would play out.
Perhaps the closest humans to ever come to the chance of having sex in space happened in September 1992, when the only astronauts to ever take a flight into space as a married couple secretly pulled it off under NASA's nose. Astronauts Mark Lee and Jan Davis broke what was an "unwritten rule" at the time that married couples cannot fly together by hiding their marriage from NASA.
Since then, the rule that married couples can't fly together has been made official. Of course people don’t have to be married to have sex in space. Opposite sex astronauts fly together all the time, so one could speculate about all the freaky little things going on aboard NASA spaceships. Still, NASA maintains that no humans have had sex in space. Besides, astronauts are highly trained professionals performing very important missions, not horny high schoolers.
But if we do plan on colonizing other planets, shouldn't we want to know how the entire reproductive process would be effected by long-term space travel? After all, this is about science, not sex. It's not like science is ignoring studies surrounding sex in space, they are just rare. At least five species have undergone the reproductive act while in orbit. Through those studies it has been uncovered that space travel can influence the reproductive process.
The first apparent danger is radiation. Here on Earth people are protected from 99 percent of space radiation, but once outside of the atmosphere, the abundance of subatomic particles in space can wreak havoc on DNA. It could alter genetic instructions in a way that could increase the risk of terminal illnesses like cancer and genetic mutations that can be passed down to children.
The second hazard of micro-gravity is far less understood. It has already been implicated that micro-gravity can change sperm production and behavior. In one study involving rats that went into labor shortly after returning from space travel, nearly twice as many contractions were had when compared to rats that had never left Earth.
Until we have a better understanding about all the hazards that sex in space presents, and how to handle them, maybe it's best that we accept that joining the mile high club is as close to sex in space as we should get. But then again, as long as you're not making babies, the only difference of sex in space versus here on Earth seems to be the amazing view.