I know more than one set of happily married first cousins (Einstein also married his first cousin so it probably isn't a "dumb" thing to do). In some societies, according to the anthropological literature, an ideal marriage is between first cross
cousins--where the related parents are of different gender because this means that their children, the marrying cousins, are of different lineages or clans. But two first parallel
cousins cannot marry because their parents are of the same gender and therefore they are of the same lineages (lineages and especially clans are always exogamous, i.e., they marry out of their groups). Note that biological
distance is irrelevant; it's social
distance that counts (and these societies have no knowledge of genetics). But of course you are asking about sex not marriage.