I explained it once & that I was a bit embarrassed about it, so now I just subtly redirect things if necessary & he takes the hint. Code words can work well too if it's too embarrassing to say everytime, but you do need to talk about it first to come up with them!
When I first started dating my man I just said I couldn't "receive" but I was still willing to play... it turned out to be great fun. These days he's sorta got the hang of when my cycle is but if in doubt I just mention some stomach cramps... he gets the hint, I get a belly and back rub and we're all good :D no embarassing period talk, just straight forward x