Yes, Prince Ludwig of Bavaria and his first cousin Princess Irmingard of Bavaria was the most recent wedding in royal families. They married in 1950.
The only more recent case that I know of and in a noble family was in the Bourbon-Busset family.
Count (Comte) Robert de Bourbon-Busset (1947-1980) married in 1973 his first cousin Anne-Laure de Bourbon-Busset (1954-).
Point de Vue ones had an interview/report with the widowed Anne-Laure in the early 1980's.
The couple had two daughters.
I don't remember the cause of death of her husband, sickness, an accident or even a horse accident or the widow was involved with horses.
Not a proper answer at this board, because not Scandinavian related.
Found the online family tree. Look at the link.
I know that Prince Knud of Denmark, younger son of King Christian X, married his first cousin, Princess Caroline-Mathilde of Denmark.
My question is: when was the last time a first cousin marriage occurred in a reigning European house? How about a non-reigning house?
I know that Prince Ludwig of Bavaria (elder son of Prince Franz and namesake grandson of Ludwig III, the last king) married Princess Irmingard of Bavaria (eldest surviving daughter of Rupprecht, the last crown prince of Bavaria).
But I'm not sure if this was the last time such a thing happened in a non-reigning dynasty.