My guess is that
Tolkien didn't actually worry about the sexuality of the 5
Wizards because it ends up being irrelevant.
But I think the following options are possible:
a) Since Tolkien was a Catholic and the Wizards were supposed to be something like saints on a Christian mission (but in the end only 1-3.5 of them really succeeded), they probably suppressed their sexuality because of the higher goal. And this could also apply to those who strayed from their good path, i.e.
Saruman, etc., but they may still have suppressed their sexuality out of pure lust for power. But maybe not. Possibly Saruman had playmates from
Dunland in the end? Rather unlikely, because they were too primitive and unshaven?

But the
Blue Wizards - who knows what they were doing in
the East? There are also contradictory statements from Tolkien, whether they remained faithful to their mission or went crazy analogous to Saruman. If I remember correctly, Tolkien once speculated that the Blue Wizards established their own magical cults. Perhaps part of it was sexual rituals? Later, however, Tolkien said that
Sauron might have had more success without their good work in the East.
b) Their bodies were already from the beginning too old for sexual activities, i.e. they were actually impotent, and even if they might have found women attractive, it would not have worked "technically" any more. Their physical superpowers, which did not correspond to their age, were only possible for such purposes, which were intended by the
Valar for their mission. (It should also be remembered that when
Gandalf returned as Gandalf
the White, he had even more special powers than
Gandalf the Grey.)
c) Despite their embodiment in a human avatar, they remained in sexual respect so far elevated as
Maiar, that from their point of view they felt lower beings like humans or
elves as no possible, sexual partners - which would be admittedly contradictory to
Melian, but maybe she was an exception.
In any case, I think c) is the most unlikely and a) the most probable.
But as I said, the most likely is that Tolkien never thought about it.
If it were up to me, this is what I would say:
- Gandalf, because he was a hardworking nerd and had only good in mind, suppressed his sexuality. If he had time, had a younger body, and
Galadriel had been single, then... who knows. 🤣
- Saruman, too, at first, until he was corrupted by the darkness. But even then, for him sexuality in this incarnation was probably rather a waste of time.
-
Radagast was like a typical hermit-monk, who was completely absorbed in his love for nature and probably felt only very little sexual pressure or none at all.
- With the two Blue Wizards, however, there are no limits to the imagination. Maybe they were ascetic, maybe they had strange cults where sex played a role, maybe something else entirely. In any case, there would be plenty of room for fan fiction or possible cinematic adaptations for the Blue Wizards and their exploits in the East. (By the way, why didn't anyone go to
Harad? Or was that possibly also implied?)