Well, I actually have several thoughts about that. First of all, I don't always think of it as a physical connection. I often picture things between them on a more emotional level. It can't be denied, sharing your consciousness with another is about as intimate as you can get. Second, although I could take the easy way out and point out that 16 year olds have sex all the time now days, I will also point out that even in the manga Sai stayed for quite awhile. I like to picture him still being present when Hikaru begins to explore himself and his feelings. (Again, because of their connection, he would certainly know what Hikaru was feeling.) As for the physical part, it's true that Sai had no body. However, he did have the ability to influence Hikaru's perceptions, and sex can actually be more mental than physical anyway. Besides which, I personally believe that Hikaru had the ability to feel Sai's touch anyway. Otherwise all the times that Sai grabbed Hikaru or tried to shake him in the manga wouldn't have done much, would it ( ... )

Mm, Hikaru no Go deserves much wider viewing. Entertaining, and actually addresses some pretty impressive ethical questions, as well as making you wanna play go. I particularly like its take on rivalry (as opposed to emnity).

Do you play? There are some good sites for it online, though I can't find what I did with the addresses at the moment.