A recent study published in Evolution looked at correlations between sexual promiscuity and the evolution of genes involved in fighting disease:
[…] We found that immunity genes evolve faster in more promiscuous species, but only for a subset of genes that interact closely with pathogens. We also observed a significantly greater proportion of branches under positive selection in the more promiscuous species[…] These results suggest that mating system has influenced the evolution of some immunity genes in primates, possibly due to increased risk of acquiring sexually transmitted diseases in species with higher levels of promiscuity.
This is a correlative study, so it doesn’t necessarily draw a line of causation from one to the other, but it makes sense. Other studies have shown that behaviors increasing exposure to disease (like living in larger groups) also increase the rate of evolution of genes involved in immunity. More exposure to disease = more selective pressure on your immune system.
But this is an evolutionary effect – don’t sleep around trying to cure your cold…