They pretend to have sex in season 4 episode 12: 'Double Trouble in the Panhandle' while undercover as Circus performers.
Then while in a coma Booth dreams of their having sex as a married couple in season 4 episode 26: 'The End in the Beginning'
The first time they ACTUALLY have sex, however, is in season 6 episode 22: 'The Hole in the Heart', when after Vincent is killed Booth insists that Brennan stay at his apartment for her safety and a shaken up Brennan goes into his room in the middle of the night and ends up crawling into bed with him.
While there is no visual evidence that sex occurred, it's implied when Brennan confides in Angela the next day in her smile when Angela asks "What happened after you--after you crawled into bed with Booth?" and then confirmed in season 6 episode 23 'The Change in the Game' when she announces to Booth that she's pregnant with his child.