The reason for not going out and sinning all you like is the same as the reason for not going out and putting your nose in a slicing machine: its dumb, stupid, and no fun. Some individual sins may have pleasure still attached to them because of the residual goodness of the realities they are abusing: adultery can indeed be pleasant and tying one on can amuse. But betrayal, jealousy, love grown cold, and the gray dawn of the morning after are nobody's idea of a good time.
