They were widely used in European brothels between 1880 - 1905. They were popular in the western United States during the Gold Rush years.
The concept was simple, you paid the admission price, so to speak, and then you and your “escort” would go to a private room.
The escort would light the fuse and you could begin. A brothel candle burns for approximately seven minutes.
When the candle went out it was time to leave the room. Even if you hadn't finished.
Some women cut the candles so they would burn for even less time.