Cologne and Brussels will be your best bet, Lille is right on the Belgium border, so you might be better of popping over the border for a punt, Amsterdam is hit and miss, the main RLD is now a adult amusement park, where all the tourists can point and laugh at all the hookers in the windows, but there are some other options, If you're into sex parties there are numerous clubs in BE & NL that host daytime and evening events.
I don't know much on Luxembourg, but as its a tax haven it could be expensive, if you see Amazon there ask them where our bloody taxes are!
While in Cologne head down to Rodenkirchen, where you will find the Samya saunaclub.