My father Billy Griffith recalls the practice in Canada from 1920 (probably before, but he's too young to vouch for that) to 1960 or so. Billy grew up on the coast, but his mother from Manitoba was used to the same custom. He says:In the old days dances were always played in sets of three: it was three waltzes, or three schottiches [did I spill that wright?] or polkas, two-steps, or square dances, or whatever, so you knew what you were into when you got up to dance. If you got up partway through the first number, you could expect it to be followed by two more like it.
But if they played the Waltz Quadrille or the French Minuet, they could go on their own, because there weren't three of them. Most of the others went in sets. The Home Waltz (Home Sweet Home) was played by itself, because that was the one they played when it was time to go home.
The supper waltz was played last in a set to signal when to stop for a meal. I think it was not a particular song, but someone would call for the supper waltz. You could ditch the person you were with and go dance with your husband or partner for the supper waltz; otherwise it could hurt someone's feelings to beg off before the end of the set (unless you were tired or your feet were hurting or something).
Nowadays they don't stop for a meal, but in the old days when people had come from miles around, you stopped halfway through and had a light supper. You made coffee in the old copper wash boiler, a pound of coffee in the boiler if I remember right, with sandwiches, and maybe cake.
When they had what they called a box social they had fancy meals made up instead. They were fundraising things. Ladies made up the boxes, and hopefully their boyfriends would know which ones they were and be able to outbid the other hopefuls - or else someone else might get the privilege of sitting and eating the box with the cook.