The first sign of romance is when Helgi is at Brunavogar. Sigrun comes riding through the sky and says she has seen him before. That meant she had been secretly watching him.
Later on she finds out that her father had promised her to someone else. She was so hurt that she flew to Arasteinn where Helgi was. She put her arms around him, kissed him and told him how badly she felt about this marriage buissness. At that time he had already fallen madly in love with her so he told her he would fix everything.
Sigrun's brother, Dagur, killed Helgi and thereby betrayed him. Sigrun becomes so angry that she puts a spell on her own brother because of her love for Helgi.
It wasn't only Helgi's looks that Sigrun admired but also his personality. She didn't let his bloody and disgusting appearance get in the way of kissing and hugging him, when she met him after he died.
What love is stronger than the love you die from out of sorrow? That
is kind the love Sigrun felt for Helgi and it was proven in the end.