in the episode "Power Play" Spike and Illyria are talking
Illyria: You'll have proof soon enough. A corrupted ruler on such a path sees treachery and betrayal all around him. He cannot suffer intimates and will eventually turn against them.
Spike: Guess I don't have to worry about that, 'cause Angel and me have never been intimate. Except that once...
so it is implied that it did happen, they just don't say it outright
