Yes, of course they did. In the account in Luke (written in the first century CE), the author obviously assumes that his audience knows that sex is necessary for pregnancy, or why would he have depicted Mary as being so confused during the Annunciation -- "how can I be pregnant," she asks, "given that I have not had sex with any man?" If people didn't know that sex was necessary for pregnancy, that passage wouldn't have made any sense to its contemporary readers.

And of course there are plenty of passages in much older literature that make it clear that people centuries before that understood this basic fact of life too. The metaphorical use of the word "semen" (Latin for "seed") itself strongly suggests this awareness; many stories in the Old Testament (e.g., the story of Sarah's old-age pregnancy) also make it clear that this was understood in the societies depicted there.

Of course they knew. They didn't know exactly how but they knew there was a connection. The ancient Jews actually believed that the man put his "seed" (the word translated as "seed" into English is literally the same as the word for "sperm" in Hebrew and Greek. The Greek word is actually sperma). into a woman where it grew like a plant and that the woman was just a sort of vessel. They were missing half the equation, but they knew the guy had to put his seed into the woman. Look at the Onan story. He knew to pull out.

As an aside, if you're using B.C./A.D. or B.C.E./C.E., there's no "year 0." It goes from 1 B.C. to 1 A.D.