Sahih Muslim
The Book Pertaining to Piety and Softening of Hearts (Kitab Al-Zuhd wa Al-Raqaiq)
Book Number: 042 / Hadith Number: 7130
The son of Abu Said al-Khudri reported on the authority of his father that Allah's Messenger (may peace be upon him) said: When one of you yawns, he should keep his mouth shut with the help of his hand, for it is the devil that enters therein.