If you are retaining water (i.e. "that time of the month") you might get higher "pinches" in the calipers. I've also heard that those body resistance scales (tanita? are there any others?) will read higher if you have had liquid recently.
Because most body fat measurement methods (calipers, etc) are not totally accurate (excluding water displacement / bod pod) its usually better to get a baseline measurement and look at the relative changes week to week or month to month, using the same method all the time - if calipers, preferably w/ the same person doing it the same each time.