I do highly recommend Scandale D'Amour: Erotic Memoirs of Paris in the 1920s by Anne-Marie Villefranche. I picked up my copy in the dollar bin at Strand's, but excerpts are available here at Google Books.
It is sexy, and not Lady Chatterley's Lover kind of sexy, where it might have been sexy back then, but you read it now and don't understand what the fuss was all about. You may not find every story highly erotic, but I can almost guarantee that at least one will suit your fancy. I would liken it more to Anais Nin's writing, but I actually enjoyed this book a lot better. At one point, I was mailing copies of the stories to a friend doing the Peace Corps in a rural village in South-East Asia. It was worth the postage.