As long as they also want to have sex with you, it actually is ok, but I wouldn't personally do that myself. There are even states in the U.S. where you can marry your cousin.
Alabama, Alaska, Colorado, Delaware, Florida, Maryland, Massachusetts, Mexico, New Jersey, New York, South Carolina, Tennessee, Vermont, and Virginia are all states where you can legally marry your cousin.
What I don't recommend is sex with a direct family member (Brother, Father, Mother, or Sister). That definitely wouldn't be ok. Please don't ever try that.