> **Q1**. Are the sexy primes expected to have the same density as twin primes?
No, they are expected to have twice the density of the twin primes. This is because $(p,p+6)$ forms a different residue class than $(p,p+2)$ (and $(p,p+4)$). The Hardy-Littlewood $k$-tuple conjecture provides a way to estimate the amount of primes $p$ below a positive integer $x$ such that $p+6$ is also prime. If we denote this number by $\pi(x)_{(p,p+6)}$, we have:
$$ \pi(x)_{(p,p+6)} \sim 4 \prod_{p>=3} \frac{p(p-2)}{(p-1)^2} \int_2^x \frac{dt}{\log t^2}. $$
> **Q2**. Is it conjectured that there are an infinite number of cousin and sexy prime pairs?
Yes.
> **Q3**. Have prime pairs of the form $(p,p+2k)$ been studied for $k>3$? If so, what are the conjectures?
Yes. In particular, the already mentioned Hardy-Littlewood conjecture provides a way to calculate an asymptotic density for such constellations, _if_ indeed there are an infinite number.