The 35-year-old told British newspaper the Daily Star: "We love hitting raunchy nightspots together.
"We both always have a great night and it helps keep our relationship on track."
Scary Spice said they are told to do things like that in their relationship counselling.
She added: "Our therapist has encouraged us to indulge our fantasies and make each other feel special."
While Stephen, 35, and Mel visited the UK recently the pair visited London strip club Spearmint Rhino, the publication reports.