Canon
None of the known Sith Lords in canon are recorded as having taken lovers. These Sith tend to be too power hungry to care to take a lover. The Rule of Two and the Sith policy of hiding during the Republic era also severely limited the chance that they'd find a lover anyway. That said, there's a huge gap of almost 1,000 years between Darth Bane and Darth Sidious so it's possible that some of the Sith Lords in that gap took lovers despite the Rule of Two.
Legends
In Legends there is actually a Sith species whose members obviously engage in sexual relationships with each other. Although these Sith were strong in the dark side of the Force, they didn't all belong to the Sith Order.
Some members of the Sith Order during the Sith Empire era did have lovers. The Sith were much more numerous at this time (Bane had not yet instituted the Rule of Two) and it's possible that many of these Sith had sexual relationships. Most of these sexual relationships only involved one Sith, though.
Perhaps most pertinent is Darth Malgus and his Twi'lek slave Eleena Daru. The relationship between Malgus and Eleena -- and its ramifications for Sith philosophy -- is described in detail in The Old Republic: Deceived. Malgus and his Sith rivals viewed his relationship with Eleena as a weakness. After admitting that he loved her, Malgus decided to kill her to get rid of that weakness. Her death consequently strengthened Malgus:
In life, Eleena had been his weakness, a tool to be exploited by rivals. In death, she had become his strength, her memory the lens of his rage.
The Old Republic: Deceived, Epilogue
Other notable Sith who had lovers include Dramath, who fathered the Sith Emperor Vitiate (among others). Vitiate, in turn, had three children with Senya Tirall; Senya was Force-sensitive but not a Sith (she was a Knight of Zakuul). Other Sith had offspring (such as Darth Angral, father of the Sith Lord Tarnis) so they must have had lovers (although said lovers are not mentioned).
After Darth Bane instituted the Rule of Two the Sith generally stopped having sexual relationships (or said relationships are not mentioned), probably due to the fact that the Sith were in hiding and so few in number. Bane himself shared a mutual attraction with Githany, but they never actually became lovers (they went no further than kissing). There was at least one actual exception: Bane's apprentice, Zannah, did develop a sexual relationship with a Twi'lek named Kelad'den; however, Zannah was not really seeking a sexual or loving relationship with him -- she did this to manipulate him into aiding the Sith.
