From StarTrek.com, an excerpt from an interview she gave to Star Trek magazine:

"By the end of the series, Kasidy marries Sisko and is pregnant with their child. Jerald called their relationship 'powerful.'"

'Sometimes too powerful,' she says, laughing. 'The chemistry between Avery and I was uncanny… It was magnetic, because you had two seasoned actors who were both aware of that and who were both happily married.' (Jerald has been married to Gralin Jerald since 1982. Brooks has been married to Vicki Bowen since 1976). 'We wanted to make sure none of that was residual outside of that stage. We didn’t do dressing room visits or anything. We were smart enough to know the chemistry was so strong not to go there and tease ourselves in that department. A lot of the strength you saw translated on screen was the fact we resisted one another, and I think that was a great dynamic of the characters.'"

Personally I have always felt like their relationship was so believable to the point where I would forget that the actors weren't romantically involved themselves. Sounds like it wasn't so far off!