Of course I wanted to have sex with her, but there were other things I wanted to do more. I just wanted to be with her, see her, smell her and hear her voice. The ultimate benefit that such feelings confer is procreation. This probably has been the case in human evolution too. I would say that your penguin wing analogy could be valid for bonobos, though.
Sex is used as social communication - to forge social bonds among all members of society.
This too has an ultimate cause - it seems sex keeps the peace and perhaps peaceful groups spent more time and energy foraging. Unlike bonobos, humans do not use sex casually to show group acceptance, resolve disputes with neighbors, etc. Then again, the average act is only 13 seconds in bonobos.