Don´ t worry
There are quite a few religions which promote such marriages, including Hindus in South India. Medically though, it is thought that the gene pool is restricted and therefore hereditery diseases which are prevalant in the family have more chances of being passed down. It should not be a cause for worry though, like I said, millions marry close relatives.
Advantages of marrying a close relative - 1. If you are marrying because of love, nithing like it. 2. If it is arranged, the family comes to rescue when something goes wrong.
Hope this helps....