The TV show is combining characters and plots, like combining Gendry with Edric Storm. In this case, Sansa has been combined with the Arya Stark substitute Jeyne Pool, who WAS raped repeatedly by Ramsey in the books
Spoiler alert
before her rescue by Theon and being taken to the wall. I think they have Theon take Sansa and rescue her and take her to Stannis’ troops, as happened to Jeyne in the books.
The rape scene is hardly graphic by TV sex scenes, though having a man spurned to redemption by the horror of a cared about woman’s rape is a trope.
This is true. You do not actually witness the rape, except for the cries of Sansa. The character of Theon, however, tells you what is happening by his reaction and facial expressions. This "scene" actually did take place in the books; but, it was Jeyne Poole who was being passed off as Arya Stark (thereby giving the Bolton's legitimacy in their taking of Winterfell). Since we have not seen, nor heard, of Jeyne Poole since early in Season 1, they substituted Sansa Stark.
I have to wonder where they will take the Sansa storyline, now. They have significantly veered from the books, so there is no knowing what they will do next. The brief description of the next episode seems to point to Sansa changing Theon's allegiance back to the Stark side, but, we will have to wait and see.