Yes, you can have sex after IUI & it certainly won't hurt your chances of getting pregnant.
Emotionally, having sex after IUI has advantages - e.g., if you're feeling like the process isn't as "natural" as it could be or that having fertility treatments is reducing your intimacy with your partner. Some couples feel better with the thought that their pregnancy may be from what happened after the IUI... :-)
Also see more information about IUI, including tips from people who've done it.
Rachel