it is perfectly fine, normal, and natural, so go for it!
however, be sure to use a condom. while there is a lesser risk of pregnancy during menstruation, there is a higher risk of pelvic infection if your partner has an STD--this is because the cervix opens a little more than usual to let the blood out, which can also allow STDs in more easily.
it will not make you bleed any heavier, although it may make the blood already passed through your cervix come down faster.