Yes, "to make love to" somebody means "to have sex with" somebody. Notice that the preposition is different--"to" and "with". In English we don't make love WITH a person, instead it is TO.
The song title is a play on words. Normally, in English, you make something out of something else, e.g. "I made the table out of wood" or "The phone is made out of plastic." Obviously, when you "make love" you are producing a thing, so he is playing with the meaning--"to make" can also mean "to do" or "to give rise to" or "to cause", e.g. make a fuss, make a bargain. So what the writer intended is up to the listener. Does he mean without any foundation, as you suggest, or without a suitable partner, as he may be implying about himself. That's what art is about.