It is actually okay. I was skeptical at first, but its fine. As long as you are not in pain, it is safe and enjoyable. Your period kind of "stops" while you are having sex, hard to explain but - have you ever had a bath while on your period, and it doesn't come out until you get out, or stand up? It is kind of like that. It will not be a big mess like you are probably be imagining,
(Sorry if this is too much information!)
Good luck!