In general, however, use the word you mean.
If you say "Darn it" I'm gonna ask you for a sock. "Darn" is mending a hole in a sock. Damn condemns a situation or a thiing or a person.
If you say "Well, fudge" and we are nowhere near a candy store, I'm gonna know -- as will you -- that the word you are not-using is "Fuck."
If you are "sleeping with" someone, then you are, by definition, not having sex. Unless you are both on Ambien, that kind of requires being awake.
If you don't want to use profanity -- itself a null concept -- then find other ways to make your point. I've heard that profanity is a sign of a lazy mind, and I will not disagree with that -- but sometimes I LIKE being lazy and will indeed swear.
There are people I very much admire for their ability to make a point without resorting to "objectionable" language, and people that are flat-out artists of swearing. These groups are not mutually exclusive.