I love it! :-) My bf actually asked me if I wanted to, even before we were having penetrative sex. So it was simply very normal for me to do anything we normally did; we simply went a step further every time. Only thing he won't do, is give me oral (which I totally understand LOL ;-))
About tampons: if my flows heavy, we start with all the cuddling and teasing and when we're both ready to put it in, I make a quick stop at the toilet to take the tampon out. I'm usually so excited, that it's absolutely no problem with too little fluids

You could also use Beppy Wet; you could have sex without removing it! To me and my partner it's not that good, because we both feel like it's not the same (but maybe that's all in the mind ;-))
And for the ladies who experience pain and heavy flow during their period, it's really great and a releave to have an orgasm! Sometimes when I'm cramped up, he will simply do it slowly. It helps me with overcoming cramps. And my period is shorter (used to be 5 days, now 3)! Since I've noticed all these positive side-effects, if he's too tired, I will simply please myself
Another plus: I feel like he's loving me completely the way I am. Of course I would have accepted it if he didn't want to, I would totally get it, but this simply makes me feel good :-) I've read somewhere that if you allow yourself and your partner to experience anal pleasure, this means you and your partner have accepted your body completely in the most intimate way. Although physically completely different, I think menstrual sex in a way signifies the same meaning :-)
PS: if my English is not correct, sorry, it's not my mother tongue.