Al-Azhar's fatwa committee chairman Abdullah Megawar argued that married couples could see each other naked but should not look at each other's genitalia and suggested they cover up with a blanket during sex.
So - is it OK if she keeps her stockings on and he wears his socks? (answer: it is never Ok to wear socks in bed. Ever ever ever.)
UPDATE: It is, however, perfectly permissable to have a threesome, provided you're all married to each other anyway. Cheers to Meph in the comments.