My Dad went out with a much younger woman for several years (he was 53 and she was 20 when they got together), they actually had a lot in common. They travelled the world together and only broke up when he retired early and she realised she was only starting out in her career and also wanted children.
He was University Lecturer and she a former student, he didn't groom her, he really isn't wealthy and would make anyone pay their way, she paid for her own flights, half of hotel etc. (he wouldn't even buy me lunch, he would expect me to pay my part of the bill).
I wasnt that shocked when he got with her, my sister was. I met her and got on with her, hosted them for holidays and had a reasonable relationship with my Dad as a result.
Your Dad is an adult, do you feel creeped out imagining the intimacy if was seeing a 30 year old or a 39 year old? Probably yes, stop imagining them having sex. Let him get with on with, if they last then get to know her? Pocketsaviour is bang on the money when she says that part of growing is realising that your parents are people in their own right.
I am 40, its still quite young, I would be hurt by the thought that someone would be grossed out/creeped out by me having sex! However I would expect my children to be and fully expect them to imagine we only did that one time to conceive them!