Downtown New York writer-actor Eric Bogosian (Talk Radio) is taking his latest one-man show Sex, Drugs, Rock & Roll to the screen. The solo performance, which played to sold-out houses throughout its extended Off Broadway run last spring, will be distributed by Avenue Pictures sometime next year. Bogosian's hauntingly funny series of characterizations, ranging from a cutthroat financier to a homeless panhandler to a jaded rock star, was released as an album on SBK Records in September. The movie version, tentatively scheduled to be shot during Bogosian's week-long Boston stint in early December, will be directed by John McNaughton, whose X-rated film Henry: Portrait of a Serial Killer has been a sleeper sensation this year. ''I start doing my show,'' Bogosian jokes about McNaughton's penchant for ultraviolence, ''then halfway through someone runs up onstage with a machete and starts hacking me to pieces.''