I haven't heard this phrase commonly used. I've only heard it in bad TV shows and movies. It is used when something is so good, you would prefer it to having sex. For example: "This chocolate is better than sex". I would call it a vulgar expression because of the sexual connotations.

I wouldn't say it's extremely vulgar. it's an expression that you will hear now and then when someone is making a comparison and trying to be funny. However; the person using the expression should be aware of who they are saying it around. It's better to use the expression in the company of friends.