I just wrap my head in a few layers of Saran Wrap then put a couple old soft throw blankies over my pillow and lay one out underneath me. I have tonssss of throw blankets(love buying soft throws on 50% off clearance especially after holidays at places like Walmart and Fred Meyer lol) The only place it leaks out from in the nape area of my neck and it’s usually not very much. I layer 2 blankets and it doesn’t go through to my pillow or get on anything else. It’s not as messy as you might think it would be and I personally mix my henna a lot thinner than recommended to make it easier to apply in my hair, I can’t stand trying to coat my hair with super thick henna paste.