Well, writing a story in Urdu begins with having a passion for the language. You should build a good vocabulary, understand sentence construction, and practice writing simple paragraphs before attempting a full story. Moreover, try to incorporate local idioms and cultural elements to make your story more authentic.
One great source is children's literature. For example, the works of Roald Dahl like 'Charlie and the Chocolate Factory' are full of imagination and positive values.
No, it is not appropriate. 'Sexy stories' usually contain vulgar and inappropriate content that goes against moral and ethical standards. Translating such content would only spread this inappropriate nature further.