In ancient times there was a link between sex and religion, but there came a time when it could only lead to error and illness -mental and bodily. For some historical information on why this is now decadent read Moses by Emil Bock.
Rudolf Steiner suggested working with the upper chakras only- the root of the nose, throat and heart. This is referred to as seizing the snake by the head rather than the tail; and leads to a free development. It is not asceticism however, it is just that one doesn't access the spiritual by the use of bodily forces such as sex, breathing and narcotics. It is true that in the early days Rudolf Steiner did recommend breathing exercises to some of his pupils, but he preferred that breathing altered itself naturally.
Blavatsky also denounced these practices. I have heard it rumored that the learned Hindu theosophist Subba Row died as a result of tantric practices.
"Just as we cannot feed our physical existence purely by targeting spiritual causality, we can neither invoke the spiritual forces to coincide with us purely by physical means."
A close friend of Rudolf Steiner explained:
Or, as Rudolf Steiner himself expressed it in An Outline of Occult Science:The Western way of occult development is not to seek enlightenment by regulating the breathing (yoga), but just the reverse: to bring about a change in the rhythm of breathing by engendering the right thoughts. The breathing is slowed down or halted when the mind is engrossed in contemplation of something that inspires it with admiration!
It is certainly not our task to tell people what to do, particularly in this Consciousness Soul age where freedom is paramount. It would not be like Dr. Steiner to tell you not to smoke, for instance, but rather just present facts, and then let you make your own decision. All occult exercises can lead to ill health, Dr. Steiner warns, and then gives certain exercises to overcome these problems. Above all one doesn't sacrifice their health for the sake of spiritual development.The ultimate ideal is that no exercises of any kind should be done with the physical body as such, not even breathing exercises, so that whatevever happens in the physical will occur simply and solely as an outcome of the exercises for Intution.
-An Outline of Occult Science, Chapter 5, Knowledge of the Higher Worlds (Concerning Initiation) Part 7
I found these lines in Dr. Steiner's lecture cycle "Macrocosm & Microcosm" which shed light on the question:
"In Oriental philosophy the highest member that man, as Spirit-Man, will develop in the future is called "Atma"-a word derived from "Atmen" (breath). He must work at the development of speech and song in which, as a transformed breathing process, there are infinite possibilities.
"Having this in mind we shall realise that as soon as man can produce an actual effect upon his breathing process, this will be a very potent influence. It may therefore all the more easily happen that with his present constitution man is not yet ready for it.
"If exercises that may be undertaken include any that have to do with regulating the breathing process, the utmost caution must be applied to such exercises and the teacher must feel the greatest possible sense of responsibility. For it was the divine-spiritual Beings themselves who in their wisdom modified the breathing process in order to raise man to a higher stage, and because he was not ready they were obliged to place speech outside the control of his individuality.
"Intervention in the breathing process means penetration into a higher sphere and this demands the very greatest sense of responsibility. It may be said quite objectively that all the instructions given so lightheartedly nowadays about this or that mode of breathing really make the impression of CHILDREN PLAYING WITH FIRE. To intervene consciously in the breathing process is to invoke the Divine in man. Because that is so, the laws of the process can be derived only from the very highest attainable knowledge and the utmost caution must be used in this domain.
"At the present time, when there is so little consciousness of the truth that the spiritual underlies everything material, people will believe all too readily that this or that breathing exercise can be advantageous. But once it is realised that everything physical has a spiritual foundation it will also be known that any modification of the breathing belongs to the sublimest of revelations of the spiritual in the physical; it should be associated with a mood of the soul that is akin to prayer, where knowledge becomes prayer.
"Instructions in these profound matters should be given only when the knower is filled with reverence, with the realisation of the grace bestowed by those Beings to whom we must look up, because they send down their wisdom from the heights of the Macrocosm-heights far greater than we, with our ordinary knowledge, can scale."