In Season 1, Episode 2: We hear Alan repeatedly saying 'Oh Yes!' in the dark. Implying that Alan is having sex with a woman. 40 seconds later, the lights turn off and they are both fully clothed.
Alan sometimes flirts with the hotel manager.
In Season 2, Episode 3: Alan and his new Russian girlfriend are about to have sex (fully clothed) in a caravan. Alan says "I'm going to hump you so bad." Suddenly they're interrupted by a shopkeeper.
In the very first episode, Alan's assistant accidentally sees Alan's penis. We don't see it all we see is her closing her eyes.