First, I don't consider any of the activities referenced by this phrase as actually misbehaving; a few cigarettes, a couple of glasses of wine, and some low-grade physical affection just don't rank as bad in my world. They all register as normal, acceptable behavior. Finishing a fifth of liquor in a sitting or sleeping with someone before the first date are activities that I think should be curtailed or kept to a bare minimum, but I still wouldn't call them "bad" necessarily. (No smoking example. Sorry.)
I don't understand the mentality of making such a statement either. Even when I was a less debauched man, finding myself making dubious choices in the heat of the moment, it would never have dawned on my to make some sort of proclamation about it. Likely statements would have been more in the vein of "I'm enjoying this", or "now I know why this is illegal", or "Can you turn that down a notch?".
The combination of the two factors just leaves me annoyed. This phenomenon has also been observed by some friends, who also find it most frequently applied to behaviors that don't seem particularly outside societal norms. Is it an attempt to convince themselves that it is a more dangerous behavior, or are they coming from a background where these are actually transgressions?
Either way, I leave it to them.