Just a towel for us and clean up immediately when finished.
We bought beautiful new sheets for the bed in our "playroom", only to discover they stain way to easily with some common lubes. Darn. Thus, we are now using a stain resistant throw on the bed, but it's a pain to have to put on and take off each time...and it shifts. Oh well.
He puts a towel or a soft cloth when using his Billy or prostate toys under his butt. Better though, if he uses as little lubricant as possible. Col ! I use a towel sometimes also though for regular sex.
I have a friend that bought a picnic blanket with waterproof backing. He said the top is nice and soft and the bottom vinyl has enough texture to keep it from moving around. Sadly he doesn't remember where he got it but I found some on ebay, thinking this may be the way to go.
We keep a cloth or towel near by when we do anal because of the amount of lubrication we use. We don't put it under us because I move too much -_- so it would end up on the floor from me throwing it anyways XD.