Cheryl J in any relationship you have to go through a process.
Write down, to the best of your recollection, what he has said to you in the past and how you replied.
Second, talk to him directly, whether he makes another comment or not. Remind him of his past comments, and tell him that you are not interested. You appreciate his friendship, but the sexual comments make you uncomfortable. Write down when you spoke to him, what you said, and his reaction.
IF he has further comments that are inappropriate after he knows what you think, he IS harassing you. Go to your supervisor or his with the documentation, and tell them you need someone to speak to him. Get them to commit to a plan. Write down who will speak to him, what points will be made, and a target date for the completion of the discussion. Also ask what the company policy is so that you can be sure you are getting the correct documents and following the proper steps. Write down who you spoke to, and the date as well.
If, after he has been warned by you and by an administration representative, he persists in making comments, write down what he said and when and where he said it. Report the problem to the same individual you spoke to before, and require specific action be taken to eliminate the problem.
If it persists beyond THIS, take all documentation, plans of actions, times and dates to HR, and file against the individual.
You've done your part by then. If HR doesn't do theirs, or if someone retaliates against you, take all your documentation to the state employment commission and file against the whole company.
This way, YOU remain professional. You do your job. YOU remain blameless. You have a right to work in a decent environment. Likely the first discussion will take care of it, but be prepared to be persistent and write everything down if it doesn't.