As Christians, we are made free from the eternal consequences of sin but not the earthly consequences.
If we do a sin, God forgives us that sin afterwards but at the time that we are doing the sin, He will not be giving us all His blessings.
The problem is when we make a decision in our minds to do a sin in the future. So say I decide that because God will forgive me, I can do sexual sins as much as I like. This decision causes us to be constantly living in a state of planning to do a sexual sin.
Although we are saved from hell, we end up living like unbelievers and denying ourselves the blessing God has for his children.
This means we are forgiven individual sins but if we make a decision to continuously sin then we are continuously living in that decision. This robs us of the relationship that God has planned for us and makes us weak vessels for Him.