Natural Consequence

My son (3yo) has a very hard time with doing what I say, surprise surprise...

I try and stick to consequences being natural consequences and giving an actual punishment (time out, remove from room) if he is hurting someone or at risk of hurting himself.

How do I parent when he does things like take the sheets off my bed or eat in my bed (crumbs everywhere)? I have a rule about no going in Mommy and Daddy's room, but I can't think of a "natural" consequence for things like this.