Just finished the trilogy and loved it of course. I went to this thread first because it was the burning question I had.
Two points swayed me to believe, quite strongly, that yes, indeed, they had sex.
First, what happened with Will and Lyra rocked the Universe and saved all Creation; I can't imagine that happening with just a first kiss. A kiss is good, but it's not THAT good. Would you come back to a botanic garden bench every year for the rest of your life just to remember puppy love? No. But you would to honor the memory of your first lover. The intensity of their reaction just would not be there if all they did was hold hands and smooch. The Universe reacted to the consummation of their love. I don't think having feelings inside was the key point. They both felt strongly about each other for most of TAS, Mary just fanned it into flame. But the flame had to build into a fire to warm the entire cosmos, and it doesn't fit the power of the moment , or Lyra's role as the the focus of the witch's prophesy, if all that was going to happen was a kiss. Even Mrs. Coulter makes a comment that her daughter was growing up and was traveling with a boy and her temptation was imminent. The Holy Church sent someone to KILL Lyra. The story line of a war in heaven with angels and men taking sides is just too big to get coy about the issue. Most parents aren't worried about a daughter's first kiss.
Besides, there was a LOT of sex in the trilogy. Just start with Lyra, the child of an adulterous relationship between illicit lovers. That's hardly a bashful beginning for a children's story. John Parry is killed when he refused the sexual advances of the witch Juta Kamainen. "Because I loved him and he scorned me!" Sounds a little passionate to me. She didn't kill him because he wouldn't hold her hand. Will even remarks in TAS that he was glad that he could report that his father had been faithful. So arguments that Will somehow couldn't have "done it" because he didn't know about it were disproved in the story itself. Will knew what sex was, and knew its rules. He was not an "innocent" as far as that goes. And Mrs. Coulter uses her beauty and sensuous sexual power throughout the book to throw men off and gain power over them. She even does it to Will in the cave when the subtle knife shattered the first time. There was a LOT of sex in this story, and a lot of murder and war and killing. So why are so many people getting all nervous about sex between two 12 year olds? Look at PP's description of who Lyra's parents were; are we surprised that Lyra would be the one to make the first move before moving in for the kill?
Passion is a major driver in this wonderful story. It is what gives the story power and credibility. Many of the characters in the trilogy don't do what they are supposed to do, and break the rules when it suits them. Why do we expect the two characters at the center of the story to behave differently? Sex does happen between 12 year olds, especially mature ones, who have fought for their lives, survived a journey through hell and narrowly escaped countless dangers. PP obviously wanted to avoid a kiddy porn accusation. But kids figure it out without instruction, thank you, and frequently that happens way before people around them think. It's silly to think they "were too young to know," but their "moment" was the central event in the entire story.
Second, and the most convincing actually, is the re-write from the British version to the American version. Mary's conversation with Lyra is the guilty giveaway. Why re-write that passage? Women frequently describe the sensation of orgasm as feeling like that first big drop on a roller coaster. PP deliberately uses the roller coaster imagery when he wrote the story the first time. But he then removes it from the subsequent prudish American printing, describing her feelings as being like discovering a house inside of her. That is as obvious as it can be. The original version was too visceral, sensual, physical and described a woman's sexual sensations too clearly. There was no need to take it out EXCEPT to water down the sexual heat of that scene to make it less obvious and vague enough to get by in a children's book being sold in a sexually repressed (relatively) country.
By the way; my Dæmon is a Eurasian Eagle owl. Her name is "Principia Mathematica" I call her "Princess" or just "Principia" for short.