When do you light memorial candles on Yom Kippur?

Yes you do light candles and say two blessings. These blessings are:

1. Baruch atah adonai eloheinu melech haolam asher kidhashanu bemitzvotav vitzivanuh lehad leek ner Shel (insert Shabbat veshel if it is on Shabbat) Yom Kippurim.

2. Baruch Atah Adonai eloheinu melech haolam, vehichejanu, veki-jemanu, laz man hazeh.

I hope that helps. It is hard for me to write the pronunciation in English but I tried.