The rules of appropriate conduct during marital relations are not spelled out clearly in halachic literature. Some guidelines are provided, but very few points are agreed upon by all halachic authorities, and opinions vary widely when it comes to these questions.
There is an opinion that a couple should not be completely unclothed or uncovered during relations, but this does not specifically require a sheet or a blanket as opposed, for instance, to an unbuttoned shirt. There are opinions that do not require coverage. When being covered interferes with normal and enjoyable relations (or as in this case, for shalom bayit reasons), one can rely upon these opinions.
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