There is a mitzva to light candles to honor Yom Kippur, just as there is a mitzva to light candles to honor Shabbat. Though the main reason for lighting Shabbat candles is to enhance and honor the festive meal (which is why the candles are lit where we eat), nevertheless, even on Yom Kippur when eating is forbidden, lighting candles still honors the day. Additionally, it helps promote a peaceful household, as it allows the household members to see where things are and to avoid tripping over them.
In the past, there were places where people did not light candles on Yom Kippur. Since people dress nicely in honor of Yom Kippur, there was concern that candlelight might create a romantic ambience and arouse sexual desire (and sexual relations are forbidden on Yom Kippur). Others said that, on the contrary, it is better to light candles, since sexual relations are forbidden where there is light; the candles actually deter sin. The Sages declared that each community should follow its custom: Where the custom is to light, one should light, and where it is not to light, one should not light (Pesaḥim 53b; SA 610:1). The Sages added that the custom to light is more praiseworthy, so where there is no custom, it is better to enshrine the custom to light (y. Pesaḥim 4:4). This is the longstanding widespread custom.
All the laws that apply to lighting Shabbat candles apply to lighting Yom Kippur candles as well. The usual berakha recited is “Barukh ata Hashem Elokeinu Melekh ha-olam, asher kideshanu be-mitzvotav ve-tzivanu le-hadlik ner shel Yom Ha-Kippurim” (“Blessed are You, Lord our God, King of the universe, Who sanctified us with His mitzvot and commanded us to light Yom Kippur candles”). If Yom Kippur is on Shabbat, the berakha ends “le-hadlik ner shel Shabbat ve-shel Yom Ha-Kippurim” (“to light Shabbat and Yom Kippur candles”).
Women generally accept the sanctity of the day with candle lighting. Therefore, those who recite the berakha on the candles should recite She-heḥeyanu immediately afterward. Those who recite the berakha before lighting the candles should recite She-heḥeyanu when they finish lighting, because once they have recited She-heḥeyanu they may not perform any further melakha, including candle lighting.
If a woman wishes to drive to synagogue after lighting candles, she should have in mind that she is not accepting the sanctity of the day with her candle lighting. Instead, she should accept the sanctity of the day in the synagogue when the congregation recites She-heḥeyanu (Peninei Halakha: Shabbat 3:3; SSK 44:14).
Since one of the reasons for the custom to light Yom Kippur candles is to prevent a couple from engaging in sexual relations, it would seem that the candles should be lit in the bedroom (Rema 610:1) and that they should burn all night. Yet no one seems to be concerned about these issues (Shulḥan Gavo’ah 610:1). I would like to offer two possible explanations for this. First, most people in the past lived in small houses without separate bedrooms; everyone ate and slept in the same room. Those who felt that having light would prevent them from being tempted to sin could have made sure that their oil or candles would last until they fell asleep. Nevertheless, the concern about intimacy is not the primary reason why the Sages instituted lighting Yom Kippur candles. Lighting has intrinsic value, namely honoring Yom Kippur (as we indicate by reciting a berakha). Therefore, even people who have large homes with bedrooms (as most people do nowadays) are not obligated to light additional candles in their bedroom. A second reason that there is no custom to light in the bedroom is that it was customary on Shabbat and Yom Tov to fulfill the mitzva of marital intimacy. The nice clothes and candles in the main room contributed to a celebratory atmosphere and facilitated intimacy. However, in later years when it became apparent that candles do not really lead to marital intimacy, it was deemed unnecessary to light a candle in the bedroom on Yom Kippur, just as it is unnecessary to light a candle when the wife is a nidda at other times of the year. Nevertheless, many Aḥaronim write that it is a good idea le-khatḥila to have a little light in the bedroom on Yom Kippur night, as a subtle reminder of the prohibition of sexual relations.
. Many women recite She-heḥeyanu when lighting candles for any holiday. In truth, kiddush is a better time for this berakha, but those who wish to recite it when lighting may do so (Peninei Halakha: Festivals 2:2). On Yom Kippur, though, kiddush is not recited, so the assumption is that women accept the sanctity of Yom Kippur when they light candles, and they recite She-heḥeyanu at that point (Ben Ish Ḥai, Vayelekh §9). However, one who wants to drive to the synagogue after lighting candles may have in mind that she is not yet accepting the sanctity of the day, as she can do on any Shabbat (Peninei Halakha: Shabbat 3:3). She then recites the berakha of She-heḥeyanu in the synagogue, for if she recites it at home after lighting the candles, she has accepted Yom Kippur and must refrain from any further melakha (MB 619:4; Ben Ish Ḥai, Vayelekh §9; SSK 44:14).
As we explained in Peninei Halakha: Shabbat 4:4, Ashkenazim and some Sephardim light Shabbat candles first and then recite the berakha, because some say that with the recitation of the berakha, they have accepted Shabbat and are no longer allowed to light the candles. It follows that on Yom Kippur, after reciting the berakha over the candles, they should recite She-heḥeyanu and accept all the Yom Kippur prohibitions upon themselves. Many Sephardim recite the berakha over Shabbat candles before lighting them, as they do not intend to accept Shabbat until after they light. On Yom Kippur, though, since they are accepting the sanctity of the day with the recitation of She-heḥeyanu, they should recite it only after lighting the candles (Ḥazon Ovadia, p. 257).