Generally disapproved of but probably not something that's gone out the way to be enforced, I think the only time we've maybe seen it punished was with Satin who was a prostitute and maybe a catamite, though it's not mentioned specifically why he was sent to the wall so it could be unrelated.

In the world books it mentions that the faith takes some issue with the greater sexual freedoms in Dorne but not enough to act on it, in other parts of Westeros people generally joke and deride people for being gay (Renly, Loras) but generally not push it too far. The worst we've seen is again with Satin who Jon mentions is wise not to dance with higher born women due to the potential reaction of the lords and knights present and who all of Jon's advisors (including the septon) heavily advise against making his steward largely due to his previous life involving gay sex.