YES! Oh god yes. Sex is really good for your heart. The rest of your body...well, that depends a lot on your positions, but mostly not. Still, it does get your heart rate up significantly for a goodly bit of time, depending on circumstances. And its FUN too! I don't think I know anyone who complains about a good roll in the sheets like they do about going to the gym!
As far as the protien shakes. Go to a GNC or other health suppliment store and check out a container. Most of them are either 100% or dang close to 100% whey protein. Its completely natural. And its seriously not that expensive, when you figure it out on a per-shake basis, especially when you compare it to the premade shakes like Slimfast. Its more natural than those too. I'm serious, depending on the quality you buy, you could be paying anywhere between $.15 and $.40 a shake, which is hardly oppressive on any budget. If you buy online, you could probably get even better deals. I'd look some up for ya, but I dunno what country you live in...and my internet is being SUPER slow right now. Really though, a 3# container will last you like, 3 months at 2/day. That means a $30 container is $.16 a shake and a $50 container is about $.27 a shake. One protein shake contains ~ 200g of protein. Whats excess, your body will filter and remove naturally. Make sure you get as close to 100% protien as you can get, because some suppliments are formulated with a lot of extra carbs and fats that you won't need, given your active level.
So, your BF doesn't like to drink? Or doesn't like you to drink? Or both? Assuming you are of the responsible age, and practice safe habits, he shouldn't force you to not do as you want. If he doesn't partake, thats his own priority (and your boon! sober driver!!!), but he should not dictate what you can and can not do. Maybe this is something you should discuss at some point. It just sounds kinda...controlling. If you feel that partaking in a reasonable amount will help you enjoy yourself, let him know. I mean, if hes gonna take you to a party you'd otherwise not enjoy, he shouldn't have a problem with you taking steps to enjoy yourself. I'm not saying you should get sloppy at the first opportunity, but forbidding you seems a lot harsh.