Musannaf Ibn Abi Shayba 1:1279

Hammad ibn al-Awam narrated to us, from Hisham, from al-Hasan, who said: It was considered desirable for a woman to apply henna while she is menstruating. If she applies henna while she is not menstruating, there is no harm in it, except that when she sleeps or breaks her wudu, she should loosen it and perform wudu.