H.T. Hansen's essay 'Julius Evola's Political Endeavors' mentions that J. Evola in the early period of his life had some contacts within theosophical and anthroposophical circles. Nothing about a lodge membership.
At least at one time he would have published an article in Ultra, the newspaper of the Theosophical Lodge in Rome.
In 'Against the modern world' (M. Sedgwick) however on p. 99 it is said that : "Evola first joined the Independent Theosophical League, which had been established in Italy by Reghini and Decio Calvari. Through this league and through Calvari, Evola discovered oriental religion." (http://azhartomorrow.al-fath.net/multmadia/bookes/anther%20body/27.pdf)
Does this hold water?