I don't know much about Incubi other than that they are sexual beings that supposedly feed off of the energy of the people they attach to. Some people consider them demons. I personally would not want a spirit being feeding off of my energy, demon or not. I don't think he would be 'helping you' without wanting something in return.
Spirits never actually physically manifest. Sexual intercourse would require actual physical touch. While I can't speak much to the nature of succubi/incubi, I would think they would be most likely to interact through dreams. Whether or not an actual separate entity, or a manifestation of one's self made into a thought form of sorts through built up desire that is not acted upon, I cannot say. It's never been something that interests me. As with any spirit that maybe harmful, cleanse, banish, etc. Or don't, it's your prerogative.
Personally I absorb their negative energy into myself and turn into my own magical energy. Its takes away their negativity and they leave me alone after that. If you want I can tell you how if this idea interests you.
Thank you for the kind offer, but it appears the incubus has left me alone but that wouldn't explain why my brother said he could feel something watching him or walking behind and following him until he went to sleep, where he could feel something touching him in certain places. As I was writing this I think I saw something on top of me as I'm lead down?