Sexual Immorality is a sin. That was the Law before Jesus came to fulfill the law so we are no saved by Grace.

When men were about to stone the woman caught in adultery, Jesus said instead, "whichever of you has not sinned, cast the first stone." They put down their rocks. The principle here is that justice is to be the companion of mercy. Jesus didn't say, "We'll abolish this part of the Law." He never changed the Law, but rather fulfilled it, and bringing it to perfect union with mercy, so that the government tempers justice with mercy, fulfills the civil law. As individuals and as a government, we are called to practice justice united with mercy.