It was the practice of the Prophet (peace and blessings be upon him):
"When he (peace and blessings be upon him) intended some intimacy with a menstruating (wife), he would place a cloth over her private part."
Hadith Referenceصحیح الجامع الصغیر / حرف الكاف / 4663
Hadith Gradingالألبانی:صحيح
Hadith Takhrij[د] عن بعض أمهات المؤمنين. صحيح أبي داود ٢٦٢.