It is often asserted that this drink likely originated in Harry’s New York Bar in Paris in the 1930s, but it actually first shows up in print in the 1919 edition of Harry MacElhone’s formulary. It became very popular during Prohibition. The recipe is adapted from Cocktails and Wines, a booklet produced by the Huyler’s chain of restaurants in 1934. There were sixteen Huyler’s in New York City, including six on Broadway (at numbers 170, 221, 270, 863, 2149 and 2577). {This version is measured in proportions.}
Preparation Shake the rum, Cointreau, juice, and brandy well with cracked ice, then strain into a chilled cocktail glass and garnish with a twist of lemon.
Caveat This is one of the drinks that bartender Patrick Gavin Duffy printed with an asterisk, indicating a cocktail he “personally did not recommend.”
Cultural context David Wondrich puts this drink in context in his Esquire online cocktail guide: “The ancestor of all the Silk Panties, Slippery Nipples, Screaming Orgasms, and other ungodly concoctions that so titillate the Abercrombie & Fitch set, the Between the Sheets dates to Prohibition—when, frankly, the nation's moral fiber wasn't what it ought to have been. But then again, neither was the nation's liquor supply. Which led to perversions like this -- smutty name, too much alcohol.”
[i] http://www.esquire.com/drinks/between-the-sheets-drink-recipe