For me Millagro was a turning point because both became aware of the feelings of the other one and Mulder was confronted by the passionate view an other man has from Scully. I wish I could have read his thoughts then to know if he was jealous.
But I still think their first sex was in Little Things. This makes sense to me for I think that Smokey was right in En Ami when he said :"You would die for him but you don't dare to love him". Little Things changed Scully's perspective and she opened up and let down her inner frontiers for Mulder finally. Life gave her a sign that it's time to give in
But I think she spend a night at his place before, without sex. In Closure.