Yes, it means to have sex. In modern English, this is the one and only meaning.
However, it hasn't always had this meaning. If you come across examples of English from before the early 20th century, you will see that it had a much vaguer meaning then. If a gentleman 'made love' to a lady in Victorian times, it merely meant that he spoke to her in romantic way. This would be the equivalent of 'wooing' 'courting' or, in modern speech, 'chatting up'. There might be a kiss on the hand or cheek involved, but certainly nothing more.
Here's a little (almost) rhyme that shows how the usage was different in the past:
Don't make love
At the garden gate
Love is blind
But the neighbors ain't
So, to answer your question, it all depends on the time period. If it's from an earlier era, it doesn't mean have sex. If it's modern, it does.