Nope, it may not be the last season. Gillian has already signed on for the next season (Chris Carter made it a condition of her contract this season - she got more money this year by agreeing to commit to one more season if the show was continued). I have heard the Lone Gunmen have their own series coming up, but whether XF continues is probably going to be decided by how the audience likes Doggett.
In the last arc of the season, Mulder went back to the small town featured in the pilot ep, where all kinds of kids were being abducted by aliens. And they took him - he was afraid they were after Scully, so he wouldn't let her go, but he took Skinner and the aliens/bad guys (because you never really know who they are) took him.
Duchovny said he wanted more time with his family, more time to do movies, plus he was just tired of playing Mulder. He and Gillian don't get along very well, and this last year, he sued Fox and Chris Carter, saying they sold the syndication rights to FX even though they could have gotten more money from someone else. So that cut into his royalties, boohoo. He ended up settling the case, but I can't imagine everything is sunshine and light between Duchovny and the bigwigs on the show anymore. Plus he's an arrogant ass, so I really hope Doggett works out.