The actress is said to have hired two pole dancers at the Penthouse Executive Club to perform for her and the Saturday Night Live regular.
A witness at the venue tells the New York Post gossip column Page Six, "Olivia booked the private champagne room with two dancers. She took Jason inside, and while he wasn't allowed to touch the dancers, she could touch them.
"They were in there for two hours, Olivia picked up the entire tab. Jason is a lucky guy."
The stars' wild night out is said to have taken place just over a month ago, after they went public with their engagement in January (13).
Wilde is no stranger to exotic dancing - she played a stripper and gave a lapdance in the 2012 comedy Butter.