For the latter topic of sex, the relationship of MacGregor and Moina Mathers is an interesting topic of debate, but it seems clear that Mathers, while perhaps choosing a life of sexual abstinence with Moina, did not encourage others to do likewise, and seemed to defend Crowley when others were judging his worthiness on the basis of his sexual promiscuity (among other things).
While there was no official policy on one's private sex life (after all, it was supposed to be private, and Mathers was a staunch defender of such), we may potentially gleam some insight to what might have been considered an "unofficial policy", stemming from the Cromlech Temple, which many of the Golden Dawn members, Mathers included, were members (and leaders) of:
"Thou shouldst call nothing common or unclean. That man or woman who seeks a good or fancied good, be it what it may, even if it be merely sensual lust (which to him or her seems the best thing), is all unknown to himself or herself seeking the Master; the soul is young, the ideal is low and primitive, but nevertheless it is an ideal - by degrees other ideals will be substituted for the lower ones. [...] Nothing is common or unclean - the sacrifice he asks of thee is the sacrifice of thy prejudices, thy limitations, in order that thou mayest feed his sheep, above all his lambs."
The above quotation from one of the Cromlech Temple Aura Papers (via Chic Cicero's article By the Holy Light of the Sun: The Magical Workings of the Cromlech Temple in Hermetic Virtues Volume II, Edition I [i.e. Issue 5]) gives what appears to be a very noble and liberal outlook on matters, asking that no matter, even "sensual lust", be condemned, but that instead compassion be offered to them, seeing those we might dismiss and judge as younger brothers and sisters, less evolved, but not inferior - lambs to the sheep of those who are "in the know" (within the Sun Order and the Golden Dawn).
However, another Cromlech paper (Aura XXIII) discusses the dangers of sex, which include the potential of the formation of astral bodies that certain evil spirits may inhabit. Caution is asked of the Neophytes of the Sun Order, therefore, to ensure they do not unwittingly give rise to this phenomenon.
It seems apparent that ascetic practices in relation to sex, despite the prevailing Victorian attitude (see here for an example), were not a requirement in any form in the original order, and most modern incarnations of the Golden Dawn would agree. I know of no group that currently asks that members abstain from sex, unless only to suggest a period of abstinence (and general fasting) for a few days prior to initiations, and as a form of development of Will. Usually such matters are not requirements, however.
But what of other ascetic practices? When it comes to illegal substances, a member may be asked to refrain from using such, but this will be an individual Order and temple policy. Many will just require that no member show up to temple under the influence of any intoxicating substance, primarily alcohol and illegal drugs. This is a common sense approach, and ensures the safety of all others present, as well as limiting the potential for disruption.
Outside of temple, what one does with one's body is up to the individual, but like all things in the Golden Dawn, balance is key. I can think of no better way to illustrate this than by sharing this passage from Westcott, from Flying Roll No. II:
"Before even strength of will, you will must have purity of body, mind, intellect and of emotion if you hope for magical power.
The spiritual powers will flourish only as you starve the animal soul, and the animal soul is largely dependent on the state and treatment of the animal body. The animal man is to be cared for and protected, kept in health and strength, but not petted.
Be moderate in all things human. Extreme ascetic habits, are to you here, a source of another danger, they may lead only to a contemplation of your own Heroism, in being abstinent. To be truly ascetic is indeed to submit to discipline and to curb unruly emotions, thoughts and actions. But, who is a slave to his animal soul, will practice vice in a Forest; while he who restrains himself among the crowds of a city, and passes through a busy life unpolluted, shows more resistance and suffers severer discipline, and shall obtain greater reward."
It is general health advice in modern times to ensure moderation, and this applies to food, exercise, sex, TV, and many other elements beside alcohol, nicotine, caffeine, and illegal (or, in some countries, legal) substances. In keeping with this, the Golden Dawn generally suggests moderation and balance, and does not advocate asceticism.
For more of my thoughts on asceticism from a Gnostic perspective, check here, here, and here.