An indulgence is doing something that you enjoy even if it has negative consequences. Buying yourself something that you don't need, be it a cookie, video game, or diamond necklace, is an indulgence.
If you allow yourself to eat more chocolate cake or watch more TV than is really good for you, those are your little indulgences. If you spend your life savings on a trip to Tahiti, that’s a huge indulgence. If someone says to you, "Grant me this indulgence," prepare for a long-winded story that tries to convince you of something. Long, long ago the Catholic Church sold something called "indulgences": pardons for sins.