Hey there.
My first question would be what relation is he to you (ie first or second or whathaveyou). You do need to check with state laws...in my immediate knowledge, Alabama is the only state in which first cousin marriages are legally recognized. Second cousin marriages are spotty in regards to where they're legal...I know they're legal in NC.
I do think Leed gave good advice in seeking genetic counseling if you two were to take it to a higher level, so to speak. Children produced from closely related parents run a significant (one of my textbook has numerical statistics...I'll post it when I find it, if you would like) risk of a wide arrange of birth defects, many of which are debilitating.

I wouldn't want that for your child or for either of you.
I won't say what is right or wrong between the two of you, as that is not my place. But you certainly need to look at legalities, and I do hope you will follow Leed's advice.
Take care, and I wish you my best.
Hugs,
Harley