This is rather a dicey topic, because the problem isn't really cousins marrying and reproducing... in one or two instances. Yes, you're reducing genetic variety, but you're not going to see the ill-effects of inbreeding until/unless you have wide-spread intermarriage within the family: ie. every cousin paired off with another cousin, and then, in subsequent generations, this behavior repeats. Bottom line: each instance narrows the field of genetic diversity, but not so drastically that the genetic pool can't survive one or two instances.
Where it gets really weird is the sociological aspect of it: it has been discovered, particularly in the hill clans of Appalacia, that cousin-marriage is a 'gateway more' (that's mor-RAY, just FYI), as fucked up as that sounds- basically, what happens, is that once cousins start marrying, the clan has a tendency to start turning even further inward, and rapidly hook a ride on the Fucked Up Family boat.
The Jerry Springer anectdote above is a good example of this.
But in a much more diverse social setting (unlike the isolation of the people living in the mountains of the SE United States), this probably wouldn't be an issue. Too many fish in the pond, and much more interaction with 'outsiders'.
But of course, odds are, your cousin coming on to you doesn't mean that she wants a relationship, it probably just means she wanted to get a little wicked with you. After all, you're kinda safe, being in the same family and all.