Rouder (2014) has a nice paper on this (written for psychologists), explaining why sequential testing (so-called data peeking) is fine from a Bayesian perspective. (Paper is freely available online if you do a search for it.)
Schoenbrodt et al. (in press) present nice analyses showing how to use sequential analysis with Bayes factors to determine when to stop data collection.
From a Bayesian parameter estimation procedure, John Kruschke has a very nice blog post that compares different Bayesian methods during sequential testing.
Hope you find them of help.
Rouder, Jeffrey N. (2014). Optional stopping: No problem for Bayesians. Psychonomic Bulletin & Review, 21, 301-308.
Schoenbrodt, F. D., Wagenmakers, E.-J., Zehetleitner, M., & Perugini, M. (in press). Sequential hypothesis testing with Bayes factors: Efficiently testing mean differences. Psychological Methods.