During the original run, I didn't see them becoming a couple, nor did I care. I was in it for the horror!
But when I rewatched it 20 years later, as an older person, suddenly I noticed the chemistry between them and it was like watching it from that aspect, that I did ship them!!
Eventually, even though Chris Carter refused to put them together romantically, David Duchovny and Gillian Anderson ended up shipping their own characters and started to play them that way!
And when they each wrote their own X-Files episodes, they included alot of flirting and Mulder spending the night at Scully's. So inevitably, it went that way, naturally!