In the US it is common practice to have a warning page and it does help with any zealots out there because you're giving visitors an opportunity to leave before being "violated"
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It does hurt traffic if you're referring links go to that page. When doing link trades have them link directly to your home page so the warning page is bypassed.
Another alternative is if your home page doesn't have any nudity on it you can skip the warning page. You'll still want to have a warning at the bottom of the page if you do this.