I've never done it, because I'm generally in a lot of pain the entire time, but it's perfectly okay for you to do. There is absolutely nothing wrong with it.
If you'd like the avoid the mess, either lay a towel or old blanket down, or do it in the shower or bath.
The only thing I would mention is to make sure you really clean yourself afterwards so you avoid getting any sort of infection, but you should do this after every time you have sex anyway. Always pee after sex to avoid a bladder infection! :)