It is an absolute MUST for us.
Sex during my period not only eases the cramping, it reduces the flow keeping it light (as opposed to heavy), it cuts the duration in half (from 9-10 days per month to 4-5 days per month), and it helps keep the bitchiness to a minimum.
We have sex daily and most days more than once. It would put a severe dent in our sex life to not have sex just because of a little mess (this is why they make red towels). Anal sex is messy sometimes too, I've never let that stop me either.
I am on my period right now and at this moment, I am considering waking the husband up because my cramps are back.