I've had sex in cosplay before; Celty from Durarara. Helmet was not so great of an idea, but the rest? Fun.
Went for something easier after that - Asuka from Evangelion. The Test Plugsuit, since it's my favorite Eva outfit.
Turns out, latex is nice, though not very breathable and you really kinda need to get a good amount of talcum powder on yourself in the process of getting in. I've met people who feel faint or start to feel nauseous in it for too long, and I usually try to limit my time spent in a full body suit as well, but for some lewdtimes it isn't too much of an ask. It can also be quite expensive. You may find it easier to slip into rubbery mocap gear(not textile, that sort of defeats the point of a bodysuit) and modify it for cosplay than to go for all-out latex gear.
As to my favorite time a partner cosplayed - it was probably my time spent with a girl who cosplayed Krul Tepes from Owari no Seraph.