My female bettas do this all the time, where the filter's sucking thing goes down into the water they like to wrap around it and stay stuck to it, they swim off when i get near but i find this a little odd
Mine have done it, too. I'm not too worried about the girls, but I have pantyhose around the filter intake tub in my boys' tanks so they don't tear their fins.
Each of my Betta's behaves diffently. My Rosetail likes to nap by wedging himself between the sponge filter and the corner of the tank at a 70 degree angel.