Would Jesus have baked a cake for a gay wedding? I don't think he would have built a house for one, being a carpenter. But I'm not sure where to research in the Bible for the truth.
We cannot say what our Lord would have done in a hypothetical situation, except to say He would not sin. We do know He attended gatherings with various sinners:
Matt. 9:9 As Jesus went on from there, He saw a man called Matthew, sitting in the tax collector’s booth; and He said to him, “Follow Me!” And he got up and followed Him.
Matt. 9:10 Then it happened that as Jesus was reclining at the table in the house, behold, many tax collectors and sinners came and were dining with Jesus and His disciples.
Matt. 9:11 When the Pharisees saw this, they said to His disciples, “Why is your Teacher eating with the tax collectors and sinners?”
Matt. 9:12 But when Jesus heard this, He said, “It is not those who are healthy who need a physician, but those who are sick.
Matt. 9:13 “But go and learn what this means: ‘I desire compassion, and not sacrifice,’ for I did not come to call the righteous, but sinners.”
Luke 7:36 Now one of the Pharisees was requesting Him to dine with him, and He entered the Pharisee’s house and reclined at the table.
Luke 7:37 And there was a woman in the city who was a sinner; and when she learned that He was reclining at the table in the Pharisee’s house, she brought an alabaster vial of perfume,
Luke 7:38 and standing behind Him at His feet, weeping, she began to wet His feet with her tears, and kept wiping them with the hair of her head, and kissing His feet and anointing them with the perfume.
Luke 7:39 Now when the Pharisee who had invited Him saw this, he said to himself, “If this man were a prophet He would know who and what sort of person this woman is who is touching Him, that she is a sinner.”
Associating with sinners is not automatically sin, as Jesus demonstrates above. Furthermore, Paul tells the church we should not avoid associating with immoral unbelievers, since we (like Jesus) are on earth to reach those very people:
1Cor. 5:9 I wrote you in my letter not to associate with immoral people;
1Cor. 5:10 I did not at all mean with the immoral people of this world, or with the covetous and swindlers, or with idolaters, for then you would have to go out of the world.
1Cor. 5:11 But actually, I wrote to you not to associate with any so-called brother if he is an immoral person, or covetous, or an idolater, or a reviler, or a drunkard, or a swindler — not even to eat with such a one.
Ironically, Paul commanded the church not to associated with believers who continued in immorality, not unbelievers. Remember, the church exists on earth to be light into the darkness around us, so we cannot completely isolate ourselves from ungodly people or else we cannot reach them.
On the other hand, there are limits to what Christians may do without undermining our witness and offending our conscience, so if our conscience tells us to avoid a certain situation, we should obey our conscience.
You may find the following article of interest on this same topic: Can a Christian take part in a homosexual wedding?