I didn't weave these into the narrative like I did in Succubus Stories. Maybe in the full game I'll find a way to do that. There are no social skills (as such) in Hex, so all you really pick for your character is her name and (starting) sexual preferences.
Note that while the preferences will be mentioned when relevant in conversations or story content, the actual effect on the game will be very limited; you won't be locked out of lesbian content if you prefer men or vice versa. I also recognize that this is a rather limited portrayal of sexual preferences, but that's because of it's limited influence. In the alpha, the only major effect it will have is determining if Iris propositions a male or female NPC as part of the game's tutorial.
Future versions of the game may get more character options, like how starting gifts were added to Succubus Stories later on.