They sure have taught it:
Bruce R. McConkie
"These name-titles all signify that our Lord is the only Son of the Father in the flesh. Each of the words is to be understood literally. Only means only; Begotten means begotten; and Son means son. Christ was begotten by an Immortal Father in the same way that mortal men are begotten by mortal fathers" (Mormon Doctrine, 546-47; emphasis added).
"There is nothing figurative about his paternity; he was begotten, conceived and born in the normal and natural course of events, for he is the Son of God, and that designation means what it says "(Mormon Doctrine,742;emphasis added).
This is, the official doctrine of the Mormon Church. I use the term "official doctrine" because every LDS General Authority that has addressed the subject has consistently taught it. In point of fact, this doctrine has never been denied by any General Authority of the LDS Church! Oh, and McConkie was a General Authority at this time.
Bruce R. McConkieI can tell you with surety that This is not what Bruce R McConkie meant, He did not mean sex.
"These name-titles all signify that our Lord is the only Son of the Father in the flesh. Each of the words is to be understood literally. Only means only; Begotten means begotten; and Son means son. Christ was begotten by an Immortal Father in the same way that mortal men are begotten by mortal fathers" (Mormon Doctrine, 546-47; emphasis added). "There is nothing figurative about his paternity; he was begotten, conceived and born in the normal and natural course of events, for he is the Son of God, and that designation means what it says "(Mormon Doctrine,742;emphasis added).
"Our Lord is the only mortal person ever born to a virgin, because he is the only person who ever had an immortal Father. Mary, his mother, "was carried away in the Spirit" (1 Ne. 11:13-21), was "overshadowed" by the Holy Ghost, and the conception which took place "by the power of the Holy Ghost" resulted in the bringing forth of the literal and personal Son of God the Father. (Alma 7:10; 2 Ne. 17:14; Isa. 7:14; Matt. 1:18-25; Luke 1:26-38.) Christ is not the Son of the Holy Ghost, but of the Father. (Doctrines of Salvation, vol. 1, pp. 18-20.) Modernistic teachings denying the virgin birth are utterly and completely apostate and false. (Elder Bruce R. McConkie, Mormon Doctrine, p.822, emphasis added)So, Bruce R McConkie in the same book, 80 pages later when talking about the Virgin birth makes sure everyone knows he is not saying God had sex with Mary.