Sex feels good because we use it as a modified form of social grooming, like talking. I've read anthropologists who think female-female genital rubbing is the only reason the clit is on the outside. Granted this was in 2010 so I don't know how up to date this idea is.

The reason religion had to convince people that sex is for reproduction is that it isn't. They had to spend thousands of years brainwashing people and trying to convince them to only have sex when they wanted a child. We re one of the few animal species that has sex for pleasure as far as I know. I don't want to say the two urges have nothing to do with each other, but saying that sex exists for reproduction is like saying talking exists to convey information. Kind of but not really. If it weren't for sex and talking we'd have to pick bugs off each other to form social bonds, and we're mostly naked so that doesn't really work out.