Are you trying to start with an empty sconce? Just curious. I didn't know there was a tut on the sconces (didn't even think to look), so I posted my own solution a day or two ago: http://www.gamesas.com/topic/1349966-did-i-do-this-right-removable-torches-start-empty/
Starting from scratch, once you have placed your sconce and light, edit the
sconce and go to its linked ref tab. Double-click there and chose the light in the render window. The light needs to be set for initially disabled. If you're still having trouble activating the sconce, check the linked ref tab on the light - there shouldn't be anything there. If there is, delete it.
I didn't copy that light, but it should already be linked to the sconce if it works properly in the warehouse.