That's gay.
Argue the fuckers down. Say what you're doing is completely legal etc. In my experience there's a huge range of intelligence in policemen... some are the dimmest you'll ever meet (while some are really bright)... so you may have to explain simple things to them... eg. they're not "busting" anything.
Don't be saying "umm...", you're running a straight business, pure and simple and they're harassing you. Even if they catch you naked, it just happened between consenting adults, nothing to do with money at all (but you should probably try to avoid that as much as possible), and if it's one of the brighter policemen that's on your case... there might be some furthur reasons for why he's doing it so try to find out.
Also, I think we should all take this as our cue to be extra vigiliant for those morally corrupt PROSTITUTION agencies going around
and make sure to report them immediately when we see them
.