There are two issues here : the awkward jokes that don't land well or making him annoying, and the sexual innuendos. One is just about how to deal with an annoying colleague, the other is a more serious issue.
The lame jokes
Your colleague is being annoying and people don't want to spend time with him because of this. This is a really common and small issue, it's really not something you should bother HR or even your boss with. You're all adults, annoying colleagues happen everywhere, it is expected of employees to handle small issues and differences.
Since his behavior is annoying a lot of people, it would be a kindness to him to tell him this (see the quote in Max Hodges' answer). It's an awkward conversation to have, but it would be great for him (and the rest of the company) if you could tell him how his jokes are making you uncomfortable. So if you feel up to it, have a talk with him about this (I like the script Sourav Ghosh provided). You also could talk about this to your boss, not necessarily to ask them to intervene, but to get some advice on how to handle this situation (and if they want to talk to this new hire themselves, yay for you !).
Finally, I'd suggest going to the Ask a Manager website, which has a LOT of posts on how to handle annoying colleagues. Here are a couple : Dealing with an annoying coworker and My annoying coworker is driving everyone crazy.
The sexual innuendos
This is more serious and I would try to put a stop to this as soon as possible. There are two things you can do :
One : go to your boss and/or HR and tell them the new hire regularly tells jokes with sexual undertones. This is something that your company will want to know, since jokes like these create a hostile work environment. I'm not a lawyer, but those kind of jokes can be considered as sexual harassment. All that to say, telling those jokes at work is not OK and your company will want to put a stop to it. You already have one woman avoiding him (probably) because of this. You could also ask that woman (or someone else you know is uncomfortable with his lewd jokes) and go to HR or your boss as a group (but this is not a necessity, you can go alone).
The goal here is not to get him in trouble, or to make him a big bad guy. He might just be an awkward dude who never had someone drawing the line for him. The goal here is that someone with some authority over him tells him what is not OK at your company and that they take it seriously. If this is coming from a colleague, even a senior one, it softens the message. He needs to hear it loud and clear.
Two : put a stop to them in the moment.
- "I don't find this funny."
- "This is really not appropriate in the workplace."
- "I don't want to hear those kind of jokes, please stop."
Even just keeping a straight face and saying "Wow", "Not funny" or "Seriously?", then moving on to something else will let him know those kind of jokes aren't well received and you're not going to let them pass without saying something. Many people don't want to do that because it feels rude, but he is being the rude one, let him be uncomfortable instead of everyone else. Here's another Ask a Manager post that could help on a colleague who jokes about violence.
You could try the second option before going to your boss, but what could happen is that he stops telling those jokes in front of you and continues with those who don't say anything (and there's a number of reasons why someone uncomfortable with those jokes might not speak up, not saying anything doesn't mean you're ok with this). If I were you, I'd go to my boss, and only go to HR if my boss's response is lackluster or the behavior continues.
If the behavior continues, call it out when it happens and keep a log (for HR). If other colleagues do the same, all the better.
But hopefully one talk with your boss will put a stop to it and you'll just have to handle the dad jokes.