We know that people were dressing "historically" for fancy dress balls and masquerades from the 18th century, with varying degrees of accuracy. Some may have been painted in the historical costumes that they wore to these balls, such as the Honorable Mary Howard, Angelica Wharton, Lady Rachel Cavendish, and Sir William Lee (although it's difficult to be sure that these were costumes worn to balls rather than something chosen to sit for the portrait) - there was a very strong preference for the 17th century in these costumes, and it's possible that people were holding specifically Charles II-themed parties in Britain. Or Henri IV-themed parties in France, as a national revival of interest in the latter monarch happened with the accession of Louis XVI to the throne: a fashion plate with late 16th/early 17th century costume in the Galerie des Modes has a caption stating that it was in great vogue "during the balls of 1774, 1775, and 1776," and the rest of the text acknowledges the link a hopeful French people made between the two rulers.

In the 19th century, we have definite evidence of themed parties. Queen Victoria and Prince Albert once held a ball where they dressed as Philippa of Hainault and Edward III; the theme was "chivalry", and the guests were likely supposed to aim for the middle ages as well. This was some years after a tourney-reenactment had been held at Eglinton Castle in Ayrshire, Scotland, in which competitors and spectators dressed in an attempt at period costume.

Fancy dresses described: or, What to wear at fancy balls (first printed before 1880) specifically notes that "Occasionally the hostess elects that her guests shall appear in costumes of a particular period ..." and it seems to have been fairly common for staff and musicians to all be dressed uniformly for the mid-18th century. It was most common for costumed parties to be open to guests dressed in any period, though, or in any type of costume. However, it was also apparently common for hostesses to arrange for quadrilles to be danced by guests whose costumes fit a specific theme, which could be by period - the "Holbein Quadrille" (Tudor costume), "Puritan Girls and Cavaliers" (17th century), "Poudré" (mid-18th century) - or something cute like policemen and nurses, people dressed as playing cards, birds, etc.

I don't have as much information about the practice in the early 20th century. However, here is a photograph taken at an 18th century-themed dinner party held by the DAR in Glens Falls, New York.