Modern readers may take this to mean that Rex and Julia had sex. However, the situation is somewhat ambiguous, as Rex Mottram later denies that Julia is his 'mistress'.
Historically, to make love to a woman meant to woo or to court her. The phrase only seems to have taken on its modern meaning during the 1950s.
Readers must, therefore, draw their own conclusions as to what went on that afternoon!
It is possible, of course, that Waugh has deliberately chosen an ambiguous phrase, as there is some evidence that – as a practising Catholic – he was wary of upsetting his peers' concept of morality.