Hmmm...
I remember seeing a documentary about this on 20/20. This was a long time ago. One of the cases on the show involved two...I think they were second or third, but they might be first cousins, I don't know...who had three kids together...who were the smartest in their class.
That's typically the concern right? Inbreeding. The kids will be idiots with a leg growing out of their head. Obviously this is not the case. Apparently the odds are two percent, which is a lot lower than other things.
But apparently, from what you said, you two are like fifth cousins...through adoption...or something. If your family wasn't as close as you seem to be, and you two just met on the street and hit it off it wouldn't be an issue. I haven't seen my cousins in...well...ever. I think I met a few of them once. Half my family I've never met because my dad ran off before I was born.
If I met a girl, we hit it off, started dating, then I found out she's my dad's second cousin's daughter, (making her my third cousin) I wouldn't give a shit. I might ask if her family is still coming to the wedding. They say it's an affront to god, I reply that I'm an atheist so I don't give a shit.
Love doesn't give a shit and neither should you. Besides, if you step far enough back, you will notice we are all cousins...distant cousins sure, but cousins none the less. Look at the theory of the Mitochondrial Eve. We all came from one woman, or at least our mitochondria did.
So I guess all I have to say is have fun you crazy kids. Though before you start looking at having kids of your own, you might want to see a geneticist...just to be safe.