I too had great difficulty with the 'Sexy Time' mission and it quickly turned an otherwise fun game into a chore. The fun quickly evaporated. Sadly, it wasn't due to lack of training either, as I consider myself pretty proficient with the helicopters in the GTA4 series. Instead, it was due to the boats and arms dealers simply not dying, even after multiple rocket and machine gun direct hits.
I have read "walkthroughs" and watched videos on youtube of that mission and every single one of them said or demonstrated that 3 or 4 rocket hits would sink the yacht and a quick burst of machine gun fire would sink each of the three boats carrying the arms dealers. However, that simply wasn't the case for the game that I have and apparently the same game that you have.
It took me around 10 hours of monotonous gameplay to finally pass that mission. Instead of three direct rocket hits on the yacht, it would take 20+ before it sank. With that being said, the yacht was the easiest part. On the boats carrying the arms dealers, each one took around 12 direct rocket hits and more machine gun ammo than what a real chopper could ever imagine to carry. Then, when the boats don't sink because they took an impressive amount of gunfire and rockets, the arms dealers flee on foot, which is the absolute hardest part, without a doubt. Each person -on foot- can take at least 100 rounds of machine gun fire and 5-10 rockets each before they die. What's more, there are a bunch of them.
I would have to agree with the original poster, Rockstar sure did screw up on this one. It kind of ruined the whole game. As I said earlier, the fun quickly dissapated and set a tone for the rest of the game that simply doesn't seem to shake.
With that being said, this isn't my only gripe or the even the major dissapointment with this game, at least for me. The major dissapointment is the lack of polish and apparent glitches in the game, which surprises me because Red Dead Redemption was such an outstanding game. All too often, "L" or even "Niko" fails to respond to button presses or does the exact opposite of the command, opting instead to either take cover, fail to take cover and collect bullets like a magnet. It's not my console either, as every single other game seems to work perfectly.
Another thing and one of the biggest problems for me, is that there is a glitch or something, where I'm not getting weapon spawns after completing 10+ drug wars, nor did I recieve a trophy after 15 (and no, I haven't used any cheats).
All in all, I'm very dissapointed in this game and it appears as if Rockstar has certainly dropped the ball here, sadly. I'm wondering if this is just a PS3 problem, as you can clearly see videos on youtube of gamers quickly and easily completeing the mission 'Sexy Time', where a quick burst of machine gun fire takes out those boats.
Oh well, I'll be more cautious before spending my money on a game just because the same publisher has put out other excellent titles.