Now I'm feeling as old as Steve...
People who have grown up, from the sixties until now, may find it hard to believe but, to disagree with Harlan Ellison, I don't think love is sex mis-spelled.
Did Steve -slow to the draw as he was- have feelings for Peggy?
Of course he was socially-intimate, from the insecurities of Howard Stark going out with her for 'a little fondue' while he's busy saving soldiers General Phillips had give up on, to the news reel footage of the interior of Steve's compass cover holding a picture of Peggy.
Did they have sex?
IF THEY DID, Peggy would of had to make the very first move (and I wonder if Hayley feels the same way). With all the rejection Steve had in his life, in the times of his youth, he's the type (like myself) who would of had a long courtship (mine was from 1970-1976), before marring the girl of his dream and moving the relationship to the physically-intimate realm, near or after their wedding.