I would recommend going to HR, but not recording the conversation. The laws in your jurisdiction may make such recording illegal.
Even in California, which normally requires consent of all parties for recording, these circumstances might fall under an exception. That's a question for the attorney. IANAL, but it seems possible to me because the statue exempts conversations that the participants might reasonably expect could be overheard.
Short of an audio recording, you should certainly start keeping a handwritten log of incidents; write down all of them in as much detail as you can.
1. Don't announce to everybody what you like to do with your dick and/or orifices. Even if you were 100% straight, it wouldn't be appropriate in a professional work environment.
2. Grow a thick skin. So they talk. Oh well.
3. Pick a better employer. You'd find more acceptance at the CIA (not joking) or a typical big defense contractor.
Thanks!!