Cross dressing has always felt sexy to me. I only dress in private at home and when I have the time I love to just spend time as my female self. I get distracted and forget that I'm wearing makeup, then I feel my earrings swinging and my hair (wig) brushing my neck and just feel like an attractive woman, sort of a delicious surprise. My fantasies have been about having sex with a woman as a woman. More recently I imagine being a GG and having sex with a man. I love imagining the submissive posture and the opening I imagine a GG feels. I am heterosexual and married and have no sexual interest in men except when I'm Laura and then it's only a fantasy. When I imagine being attractive to men I'm telling myself that Laura is attractive and desirable, which makes me feel good about myself.
One significant fact is that my marriage is a celibate one for reasons of my wife's unrelated to my cross dressing, but I have sexual urges and have found that this is a good way to direct them while remaining faithful. I love my wife more than anything.
I think that men in our society are so strongly socialized not to be attractive or attracted to men that many of us "straights" have to get out of our male personae in fantasy in order to free up those feelings. I could go on and on but the short answer is yes, sexual feelings sure are part of the CD experience for me.