Having sexual relations with women in their menses is prohibited and forbidden (Haraam). Allah Ta'ala says:
They ask thee concerning women's courses. Say: They are a hurt and a pollution; so keep away from women in their courses, and do not approach them until they are clean. But when they have purified themselves, ye may approach them in any manner, time or place ordained for you by Allah. for Allah loves those who turn to Him constantly and He loves those who keep themselves pure and clean.
And they ask you about menstruation (monthly course). Say: ‘It is filth; so keep away from women during menstruation and do not approach them until they become pure. And when they have washed themselves clean, consort with them the way by which Allah has permitted you.’ Undoubtedly, Allah loves those who repent excessively, and He loves those who keep themselves thoroughly pure and clean. Surah Baqarah (2:222)
The Fuqaha (Islamic Law Experts) have clarified about sexual relations with women after their menses that if 10 days have passed then one can have sex with them even before they take a bath, whether this time period is regular for her menses or no; however, avoiding it before bathing is better and Mustahab.
If menses end before 10 days, then sex before a bath is not allowed. Either the women should take a bath or the time for the Salaat in which the menses end should end in which she can take a bath and start the Salaat.
It is given in Fatawa A'alamgiri, Vol. 1, Pg No. 39:
Translation: When the maximum period for menses passes, then sexual relations are permissible, regardless of whether it is the first period of the lady or regular and it is better if the husband not to have sex until the wife takes a bath and if menses stop before 10 days, then sex is impermissible until the wife takes a bath (Ghusl) or the maximum time for any Salaat passes in which she could have taken a bath and at least said the "Takbir Tahrima".