The short answer to this question is “no”. However, this does not necessarily mean we shouldn’t, can’t or must never do so.
Historical church
In the historical church tradition, candles have often been used to signify the beginning of worship. In the Old Testament when God gave Moses direction for setting up the tabernacle in the wilderness, the branched lampstand was one of the main pieces of equipment and furnishings of the tabernacle itself. Of course, this was in the days before gas lighting and then electric lighting, and without the lampstand in the tabernacle it would have been completely dark.
Modern times
In modern times, the Catholic church still uses candles and often encourages people to light a candle when they pray for someone. Traditional state churches of many countries, such as the Anglican church, may still use lighting candles to signify the beginning of a worship service. Most protestant churches though would not light candles specifically for services, unless it is around Christmas time when these are frequently seen but have no spiritual meaning necessarily.
Concentrate on God
In today’s world of rush and hurry, there has been a resurgence of Celtic spirituality, more reflective, unhurried worship which often encourages the lighting of candles at the beginning of personal spiritual times of prayer, worship, reading God’s word and meditation. This is not because it will bring God suddenly close to us, but to help us withdraw to a quiet, special space or corner of our homes, where we can concentrate on God. As we light the candle, we are asking to draw near to God and preparing our hearts to listen to Him and to be conscious of Him and His presence with us. Some people find this very helpful, others find it distracting.
On its own, the lighting of the candle is not important, but if you find it helpful in drawing near to God, then, by all means, do it.