Depends on the cousin tbh. If it's a cousin you grew up with, then yeah it's kinda weird. But if it's a cousin who lives in an entirely different country and you barely knew him/her then it's fine.
Nothing wrong as long as you are aware of the risks of giving children. You should also take into consideration the amount of cousin marriages that occur in your family tree.
If cousin marriages happen in every generation, then that's bad and will lead to more risks. If it's a rare relationship in which your family tree doesn't have much cousin marriages, then it's fine.
IVF/Adopting is a much better option if you do want kids and obviously far safer. The taboo for the most part comes from having children.
All in all,
Life is short, better to spend it with someone you love.