The cochranites may have.

Please note that this is from the memoirs of Oliver Cowdery, one of the founders of the LDS church, who became a polygamous sect.
His description of the group led by Jacob Cochrane.

http://olivercowdery.com/gathering/JCochran.htm
From pg 14

Another young man in presence of Judge Woodman, of Buxton, and myself and several others declared, that when he was admitted a member of Cochran's fraternity, he had to hold a Bible in his hand, while Cochran administered a solemn oath, or what was called so. The amount of which was, that if ever he divulged what took place in their private meetings, his name was to be blotted out of the book of life, and he suffer eternal damnation. He then pointed to, and named this young man's spiritual wife, and said he was willing they should lodge together, which they did a number of nights, though he declared himself inocent of any sinful conduct. He testified, that Jacob Cochran lodged two nights, to his certain knowledge, while he was there, with a woman not his wife. Five couple[s] more lodged in the same house, who were not husband and wife; one of which, had a wife at home at her father's house at the same time. He tarried at this house of ill fame four nights, and came away innocent; took another young man with him and went back to Cochran. They both asked for their dismission, which was granted. Cochran told one of the young, [deleted, orig. MS: the man who went with him], that he would keep his secret; but for the other, God Almighty would never let him rest, until he had brought him out. This proved true: for the same young man never found any peace in his mind, until he had violated his pretended oath, and publicly and heartily confessed his wrong, and brought out the bad conduct he knew.

The Cochranites used a practise called "Spiritual Wifery", which permitted them to void previous vows.
http://en.wikipedia.org/wiki/Spiritual_wifery

Cochrane was said to dwell in a house with several women.
Whether group sex was common, is not stated.