Well if she's really young she probably shouldn't be completely unsubervised at all, whether what you might be doing in the other room is sex, jerking off, or just reading.

I probably wouldn't be in the mood for sex if I had too look after a little girl though :)

I don't see any need to hide the fact that you may be having sex.
Nothing wrong with closing the door though, I mean you probably would in a household full of adults.