According to my research, many sources point to the normal anime approach. It's not really different than a normal anime with occasional ero scenes.
A blog from Pink Pineapple (Japanese, possibly NSFW!) mentioned how the voice recording session for its adult anime, Boy Meets Harem THE ANIMATION (MyAnimeList, possibly NSFW!), was done:
[...] Even though it's not targeted on purpose, other than the sound director who had to direct the acting, the main character Naoki Shindou's seiyuu and 4 female seiyuu entered the recording booth, surrounding him just like the original work harem situation, and then the voice recording was done (LOL).
(...however, the wording of "not targeted on purpose" and the existence of "recording booth" seem to give a hint that it's not the usual way they do it)
There are also some pictures of the recording studio, although it didn't show the process of the recording (censored images behind links, potentially NSFW!).
(Source (Japanese): the site itself is probably not NSFW, but the current topic is NSFW as per above)
Other than that, I could only take some info from Japanese online discussions:
- How does seiyuu record their voices in adult anime?
- akatsukinops: It's the same as normal anime (everyone stands in front of the mike), even for hentai anime. Well, there's also 1-by-1 recording just like eroge approach.
Actually, a female seiyuu who performed a bed scene in a certain normal anime stated that even though she was quite embarrassed because there was a voice actor beside her and co-actor behind her, she performed it precisely in the end.
- How is the mental state of the seiyuu in hentai anime and eroge?
- akatsukinops: Here is a comment from a female seiyuu on an H-scene of a normal anime:
1) at the time of recording, she wore a hat until eye level because she was so embarrassed.
2) There was an H partner's male seiyuu just beside her and they recorded the voice together.
3) She could only face the front (the script and the monitor), she couldn't see co-actors (beside) and staffs (behind) totally. (Now she has passed the audition for H-scene and appeared on adult works anonymously/on different name)
- How does seiyuu record their voices in H-anime?
- comment #9: I'm a (female) seiyuu. Because there are also non-H scenes, they're done just like other (normal) anime, but there are also those who record the voice 1-by-1. When it's the H-scene, each stand in front of their own mike. [...]
While it's not asked, I'll put info about eroge voice recording too.
(Also, it's because I couldn't find much info about the actual hentai anime's voice recording. It got mixed up with AV with seiyuu theme, which I believe is not how they actually do)
As mentioned before, for eroge, it's (almost?) always done alone inside a booth with only a script book and a mic. The reason is, compared to the (hentai) anime, there's no detailed animation timing to be followed.
On an online Q&A Twitter session with a female eroge seiyuu, "Satou Yuki" (Japanese), when she was asked how she recorded the voice, she answered that it was done inside a booth. Answers on Yahoo! Chiebukuro also agree with that.
There's a 1-hour variety show in Japanese about eroge's seiyuu on YouTube. It's rated R-15+ by them but definitely NSFW (occasional explicit graphic & explicit sound). Although there's no caption, it's still worthy to watch since they actually demonstrated how they performed the sound/voice... on a straight face.
Bonus: a compilation video of NG scene when doing eroge voice recording on YouTube (still image and sound only, NSFW: explicit sound). It shows that they don't feel uncomfortable when performing such voice.
My personal conclusion is, whether the scene is H or not, it doesn't seem to seriously obstruct the seiyuu's performance even if there are other people. It's their job, after all.