Sociolect is basically a word for "social dialect" and ethnolect is a dialect predominantly used within a certain ethnic group. These are types of dialects.
I have never heard of the term "sexlect", and any papers I have read dealing with gender-specific speech patterns have referred to them as dialects (or speech patterns). I would mark such questions with dialect, myself (though not only with that tag, of course).
An idiolect is not a dialect; it is something less than a dialect. Some people use the term very strictly to refer only to a single individual, and some use it slightly more broadly to refer to, say, the way a husband and wife speak to each other. While there may be a relevant question dealing with idiolects, the topic is likely to be too localized — the examples you give for idiolect would probably be closed (I think).