The shaving of female heads and donning of wigs is very common amopng the Orthodox.
The "hole in the sheet" thing is definitely rumor as far as standard Jewish practices go. Found this for you, Vytis. From http://www.beingjewish.org/jewishemail/resp0429.html:
The following E-Mail came to me under the subject: What's up with the hole in the sheet?
I have been asked by many non Jewish friends about a practice in which Jewish people have sex through a hole in a sheet. Is this an actual practice with some Jews, or just another example of a false Jewish stereotype?
"Sex through a hole in a sheet?" Anybody who would hear something like this about Jews would have to wonder about us!
Judaism's attitude toward sex is between two extremes. Judaism rejects the extreme of "anything goes" and also rejects the opposite extreme that sex is dirty or sinful. Instead Judaism imposes numerous restrictions on sexual relations, but also promotes regular sex between a husband and wife as healthy, worthy of enjoyment and a mitzvah (an affirming commandment.)
As for sex through a hole in a sheet, I must confess I had never heard anything like that so I began to investigate. Tracking down information was not easy. Ultimately, I contacted 6 different rabbis. All 6 of them said they knew next to nothing about the practice--FYI, 4 of the rabbis where Orthodox. One of the Orthodox rabbis told me he had never heard of it.
The other 5 rabbis told me they had heard some mention of this practice but that is about it. None of the rabbis had ever known anybody who actually practiced "hole in the sheet sex."
Since I was already on the subject, I asked further, what would be the rational for this kind of sex? None of the rabbis knew. One guessed that it might have something to do with modesty or "tziniyut" since sex in the dark or at night is encouraged by some sources for modesty reasons. Another rabbi thought it might be some form of "negiah" taken to the nth degree. Negiah is a part of Jewish tradition that prohibits physical contact between a husband and wife if she is menstruating.
Three of the rabbis told me that in their opinion, this alleged sheet practice would actually be a violation of Jewish law! One told me that Jewish law encourages full contact between a husband and a wife and even grants the wife permission to request full body contact...a sheet in the way would obviously cause a problem!
Just to add a little (more) humor to this mystery, one rabbi told me that he speculated that this rumor may be a result of non-Jews seeing tzitzit hanging from the clothesline and assuming it was a sheet with a hole in it. (Tzitzit are the undershirt like garments with fringes on the four corners that many observant Jewish men wear beneath their shirt.)
Rabbi number sixth I spoke to had the most plausible explanation to me. After racking his brain he called me back to say that perhaps the rumor comes from a little known Jewish divorce law that speaks of a spouse willing to have sex only through a sheet. This is considered so bad, that the other partner can cite "the sheet" as grounds for divorce--with no financial remuneration! In other words the law condemns such behavior.
In conclusion, apparently having sex through a sheet is not practiced by Jews and indeed is a false stereotype. I am amazed that you say you have been asked about this practice by "many" non-Jews since all 6 of the rabbis barely knew what I was talking about when I asked them. Things in the rumor mill about what we Jews do must be getting pretty slow!
If anybody out there can shed any more light on this subject, I welcome your E-mails. I suppose now I will receive all kinds of mail with questions and comments on the subject of Judaism and sex. I am sure, I won't be bored!
Thanks for writing,