Musnad Abu Ya'la al-Mawsili 42:189

Zuhayr narrated to us, Jarir narrated to us, from Suhayl, from his father, from Abu Sa’id—or from Ibn Abi Sa’id—from Abu Sa’id, who said: The Messenger of Allah (peace and blessings of Allah be upon him) said: "When one of you yawns, let him place his hand over his mouth, for the devil enters."