What can cops do if they find me going into wg place to visit?

Nothing really. ..it's damn near impossible to prove solicitation unless you go street walking. worse come to worst, it's a fine.

Cops have to prove exchange of money for sexual services. Money lying around proves nothing. Excuse could be he was a friend who borrowed from you or you put it there earlier or whatever. What cops are really interested is drugs being on the premises, someone being in the country illegaly or minor children having sex. More likely that will cause the trouble. Cops will come in and search and try to scare you. Just stand your ground and stick to the story of you were both horny and having safe consensual sex. You will be okay.

And I can visit anyone I want. Sorry. I posted this on the wrong place.

The problem is some people panic and can't bullshit there way out of such a situation. They'll eventually "give" the cops a reason to harass them further.

I do know of situations were the house/WG is in cahoots with the cops. They ask them to harass you when leaving and try to shake you down for some money.

When the cops bust when you are in a booking they can arrest you. Most of the times they chase you out with or without your clothes and you are free to go. They search the ladies for drugs. They take bribes always carry extra money with you. Unfortunately our country is down the drain nothing we can do or say will change anything. I was targeted twice by the metro police while driving at night because of the car I am driving they see money. I was pulled off for no reason, I was speeding he says. I told him to give me a fine, 3 times, he refused he wanted a bribe.

"When the cops bust when you are in a booking they can arrest you"

If you are #1 on the National Wanted-List maybe, but not if you're just in a booking - that is, if you don't carry drugs! Note that you may be drunk, doesn't matter.
Read Michelle's reply above, she is 100% correct - I can bonk anything I like, even a statue of KingKong if you happen to have one in your room, of course dressed in my Batman suit with pink slippers. Point is, never admit you paid to have sex, anything else is OK - hence a loan repaid or 'her time' or why, however keep in mind both must adhere to the same story.

"I told him to give me a fine, 3 times, he refused he wanted a bribe"
Ask for his ID (which he MUST produce - if he doesn't simply drive off, he is no policeman!), note down his details, do NOT pay any money and charge him for soliciting a bribe at the Anti Corruption branch of the Police - this works! Carry your charge through too, you will be visited by the most honest cops you'll ever meet, and the dickhead will face the consequences.... which, when all would do this will help cleanse the Police force into an honest one, one which you could respect!

"Unfortunately our country is down the drain nothing we can do or say will change anything."

Well you can start change by stopping prostitution, an illegal activity in our country, and one that attracts other illegal activities like drug trafficking, human trafficking and statutory rape. It's amazing how we all like to point the blame elsewhere when we're the source of the malice in the first place.

if we didn't drive drunk, pay bribes or buy pussy cops wouldn't have as much chance to be corrupt in the first place.

they are just after extra cash so they can have a pomp with a WG

Prostitution doesnt make one take part in illegal activities......"like drug trafficking, human trafficking and statutory rape."

More like weak of character, corrupt of character and sick of character.

You have just jumped from the frying pan into the fire....