The best device that I know of, and which I suppose could be found at some large drug stores, is a towel. If the man is squeamish and doesn't like to see blood on his penis when he pulls it out, he could wear a condom. And I suppose the female condom would also provide that sort of cosmetic protection. But during intercourse, which involves a lot of moving in and out of the vagina, there's a good chance that some blood may escape the best of preventive methods. But if you've placed a large towel under you that can then be easily thrown into the wash, and perhaps have some wash cloths nearby to clean yourselves up with, then the "mess" will be contained and needn't scare you away from engaging in sex at "that" time of the month.