I came to EF for the sole purpose of achieving climax for the first time. At a few weeks before my 30th b-day, I decided I was old enough to experience this. I READ everything about orgasms so I'll share a summary of what I read about exercise. I"M not a doctor or a nurse but this is my gatherings. When we exercise (especially cardio) we're allowing blood flow more easily to our bodies, helping our heart. If we're getting proper blood flow to our vital organs then it is easier to get more blood flow to our nether regions which is important for arousal and climax.
With that being said, it can't hurt.
Also, you can do kegel exercises which is supposed to increase the pc muscles which help with orgasms as well.