Musnad Abu Ya'la al-Mawsili 161:31

Kamil ibn Talhah narrated to us, Abdullah ibn Umar al-Umari narrated to us, from Suhayl, from his father, from Abu Hurayrah, that the Messenger of Allah (may Allah bless him and grant him peace) said: "If one of you yawns, let him place his hand over his mouth, so that [the devil] does not enter."