You cannot marry your cousin in Scotland. The Marriage (Scotland) Act 1977 prohibits marriage between persons related by blood within the following degrees:
This is a criminal offense (void marriage, potential prosecution). The law is stricter than in England/Wales (where first-cousin marriage is legal) and many US states.
Dating (non-marital relationship) is not criminalized, but any attempt to marry—even abroad to circumvent the law—will not be recognized in Scotland if the parties are domiciled there.
For legal advice, consult a Scottish family law solicitor.