Don't worry about it. It's happened to most of us. We had one of our 6 y/o's walk in on us but there were no sheets or anything to cover up with! Living room floor and needless to say, we're positive he saw things he shouldn't have :-)
In the blink of an eye, I remembered one time I walked in on my mom dressing - she was fully naked when I barged in her room- I was only around 6 or 7 I guess but I remember it clearly (too clearly) because she was embarrassed and yelled at me, I felt bad or guilty so it stuck in my head. So when I looked over and saw my son staring at us, I simply stayed calm, and gently pushed my husband away, and asked what was going on blah blah blah. He has not brought it up and I'm hoping that since no big deal was made, he will lose it as one of those unimportant memories.
Don't freak, and I wouldn't bother bringing it up. If it does come up, just say that they don't need to see daddy naked so they must knock and hear a "come in" before they come in.
We've just learned that we only have "relations" in a place with a door that locks now!!!
Don't worry, it happens to everyone, if it happens again, just stay calm and don't make an issue of it. Remember, even though we don't want them to see mommy and daddy naked and having sex, if you simply make it look like you're cuddling under covers or something along those lines, you can say you and daddy are cuddling.