First, you need to verify your information. A false perception of an improper relationship is a problem, but not one as severe as an actual affair. You cannot rely solely on the consensus of the rumor mill. If the problem has been brought to your attention directly by a first-hand witness, you must report it.
Do not approach the concerned individuals. If the problem is at the platoon level, report to your 1SG and commander. If the problem is at the company level, report to the BN CSM and commander. In either case, speak to both the senior NCO and the commander at the same time. Explain any evidence you have and be sure to let them know if you believe there is an improper relationship taking place, or if you are just reporting the perception of such a relationship.
If you are uncomfortable doing this, consider speaking with the chaplain, IG, or JAG.