Actually she's pulling on a sweater. You can see her bare stomach and everything. Looking at this on my computer, which makes everything crystal clear compared to my TV set, I can even see a point where she turns to look at Mulder and her face softens a little (there is even the beginning of a smile in the corners of her mouth--Gillian is such a subtle actress), then the camera pans over to follow her gaze. Watch it again.

I'm not fond of "All Things" either--obviously--but I accept it as canon that they had sex that night. I'm not convinced it was their first time, however. I firmly believe she would have spent the night if it was their first time, rather than leave him to wake up alone.