Go A-Less lol. Under your towel,you could perhaps put some sort of plastic sheet I guess. It would wipe clean of overspill I suppose.

On Amazon: Mambe 100% Waterproof Silky Soft Throw for Dogs, Cats, and People - Made in The USA

If I'm worried about making a mess, I can't relax so this need to be addressed.

I use session specific towels and clothing. So I have the largest, thickest, fluffiest beach towels I could find (at a reasonable price). I fold all the blankets to one side of the bed, leaving only the sheet. Put a dedicated fleece blanket over that, then my towel.

If I'm using the Eupho or doing Aless, I'll wear cotton pyjama pants with a buttoned fly since there is no tail to catch, otherwise it's a sports shirt and nothing else. The fly is evidently for easy access.

Never had anything go through the fleece. Rotate and clean often, you'll get some stains but who cares, right? I also have a small hand towel ready, so I can clean up right when I'm done without getting up. Then everything goes in the laundry.

Having sessions on the floor with only the towel solves most cleaning issues but it's not for everyone... 

Edit : polar fleece, the synthetic kind.

Might depend on which lube you use, if it stains or not; mine doesn't (ID Glide and Slippery Stuff Gel).  I usually use yesterday's shirt as it's already dirty, under my ass.  Sometimes a towel.  I usually get coated in lube all around my cheeks but very little of that gets all the way to the bedding underneath so I tend to think this is more of a mind issue than a practical one.  That said so much of this is mental that I don't think I could have an enjoyable session if I had something like that nagging me! 

@charlie5 good call on a Mambe throw, I would also recommend!  Liberator makes something similar and the best part is that they're both Made in USA which I love to see.  Mambe would appear to be much more affordable so I'm looking into that myself right now! 
edit: and bought a few throws plus a warm blanket!  Not only does their website have better deals, there's also free shipping, and a 15% off coupon on top of it all.  Plus I'm not giving any money to Amazon! 

Now about ejaculating...I would intentionally not keep anything to clean up with that as it keeps that from being a convenient option.  If I choose to ejaculate, I want it to be preplanned and not reflexive.  I don't want to treat it as a consolation prize or be done out of frustration for not reaching a Super-O that session.  If I'm worried about cleaning up cum then I'm less likely to masturbate/ejaculate after a session. 

A towel folded in half works fine for me. I don't use a huge amount of lube, since I find beyond a certain point it's going to get wiped off during insertion.

I use a towel and I always anal douche beforehand

I use a towel underneath my ass, and I have some handkerchiefs/scraps of fabric for wiping up cum in my bedside table. Have not had any issue with staining or seeping onto the actual mattress. to avoid using too much lube, i put some on the device with a condom on it, and insert and reinsert after applying more lube until it becomes smooth and effortless.  

Some sex toy companies like Liberator have sex blankets that are plush, waterproof, and near-disaster proof -- that's a sweet vision but towels on the bed (and clean socks while we're at it) seems just as effective.

I've gotten accustomed to laying on the ground on top of my thicker exercise/yoga mat. If something was to happen like having the Progasm Ice fly out of my untoned/pre-kegeled ass then all would be grand.

I use a plastic trash bag under a towel, just in case.  Cheap insurance!

You need to constantly keep clean