I would say it just means that they want to set up house together.But the term does not always have a sexual connotation.
Here is a sentence that I am having problems translating that appears which definitely does not have such a context. It appeared in a trailer I saw a while ago in reference of three friends:
Ils veulent fonder un ménage à trois
Could someone please help me translate that above?
They want to form/build a....what??