...Their preferences can be shown in dialogue as who they remark on while traveling, how they respond to the other companion party banter, how they respond to the player's advances/actions, help flesh out their background, etc.
e.g., Wyll. @KillerRabbit says that devils "assume the gender they think is mostly likely to get the response they are after." If this is correct, Wyll should be more interested in women according to the rules of the universe. Making him herosexual (equally amenable to either gender PC) contradicts this story lore.
Now, if Wyll was willing to sleep with the player regardless of gender but was less aggressive about pursuing a romance with a male PC, that'd be fine.
Edit: Wyll's patron is a cambion. But my example stands as a theoretical
All of this, if the game dealt with it, would make for exactly the type of thing I think is typically lacking from herosexual npc design. I hope it does come up during Wyl's story, especially if you're romancing him.
