Not well-documented, unfortunately. It is a fairly recent practice, which we know because the technology to make black candles (using a dye or pigment) is fairly recent, and Medieval grimoires for example don't specify the color of candles. The earliest reference I'm aware of is 1902, in an account of the Black Mass in the Irish Law Times and Solicitor's Journal:

and the devil harangued them from the pulpit, which was appropriately hung with black candles.

The modern predilection for black candles (and other colored candles) in occult practices stems from the increased availability, and probably the popular association of black candles with the occult through works like Ira Levin's Rosemary's Baby (1967) and Anton Lavey's The Satanic Bible (1969) which specifies black and white candles for Satanic rituals.