All those ideas are good, it's hard to choose! If we handwave some simple introductions/Majima spotting him on the station before (so being aware Sans is on his team), he would absolutely step in for him against guards harassment.

Looking for clues about the outer city is also what Majima's going to be interested in, and hey, about mapping the rings for the sake of teleportation access later... he has to crossdress and seduce a guard, so might as well do it for A Reason (aka distraction) and help a teammate get somewhere.

(And any of these give a PRANK possibility too)