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On the evening before the finale of the 74th Hunger Games, Katniss and Peeta had sex in the cave. They knew that there was a good chance that one or both of them would die, so they wanted to at least give each other that much.
HEADCANON
By the time President Snow visits Katniss before her and Peeta's victory tour, she is visibly pregnant. She reveals to him that it is Peeta's baby, despite everyone who knew her personally believing that it was Gale's. She also revealed that even Gale and Peeta believe it to be Gale's baby.
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During the victory tour, they advertise it as Peeta's baby, saying that the baby was conceived after the games. At first, Peeta still believed that it was Gale's, putting on an extremely good act.
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After giving birth to a beautiful baby boy, Katniss and Peeta did another tour, filled with photo ops. During this tour, Katniss revealed the truth to Peeta. After this, the Capitol took away their son, publicly announcing that he would be staying with their families while they were on their honeymoon. The truth was that he was sent to the Combat Training Academy with the intent of volunteering for a future Hunger Games and ultimately getting killed.
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While District 13 rose in rebellion, Peeta, Johanna, and Annie were executed on live television as punishment for the breakout of the 75th Hunger Games. Everyone watching caught Peeta's last words, "I love you, Katniss. Find our son." This only made the rebellion grow stronger seeing as how most believed that the baby was with Katniss in District 12/13.
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During the storming of the Capitol Finnick survived, but Gale sacrificed himself, saving Prim, rather than being captured.
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President Snow's last words to Katniss before his death were the location of her and Peeta's son.
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In the time since the rebellion, Katniss and Finnick began to lean on each other. They knew that they were the only ones who truly understood one another. Eventually, they began to fall in love as they raised little Peeta O'Dair together.