Totally stupid, in my opinion.
If, as in this case, the WG has some reason to keep it confidential and has as much to loose as you, I suppose this works, but just barely. You could expose yourself to blackmail by the WG, or having her husband come over and kick your ass
It is true, do not shit where you eat (or sleep as someone said above)
Here's an unrelated but true story. I am not sure how this worked in particular, but 12 years ago our department had this in-house Brit lawyer, a real odd-ball, who was married to a Japanese. He would bring to his home WGs, and when he did the wife would sleep in the spare room while they went at it in the bedroom. Her only rule was that she did not want to see them, so we would tell her we was "coming home late" and not to wait up for her, and she would go sleep in the spare room so as not to be disturbed when he came to bed late, and the WG would be out the door by early morning before the wife would wake up.
This was told to me by a good friend of his. Not sure how this worked, but I assume the relationship with the wife was not healthy.