Having sex while a women is menstruating is perfectly normal, but it is important make sure that you do so safely:

As the experts from teenwire point out, "There is nothing 'gross' about having sex while a woman is menstruating. And sexual arousal and orgasm may help relieve menstrual cramps. About nine out of 100 women masturbate to relieve menstrual cramps. Masturbation and sex play with a partner during menstruation are also associated with decreasing the chance of getting endometriosis, a painful overgrowth of the lining of the uterus."