It is narrated from Sayyidah Maymunah (may Allah be pleased with her) that when the Messenger of Allah (peace and blessings be upon him) wanted to be in close contact with one of his wives while she was menstruating, he would order her to "tie on a waist-wrap."
Hadith Referenceالسنن الكبرى للبيهقي / كتاب الحيض / 1490