What do I do if my parents catch me in the act? They don't even let me lock the door to my room.
If you can, try to develop an understanding with your parents that they knock before entering your room. I'm sure they wouldn't want you to barge into their room without knocking, and you deserve the same privacy. If they do walk in on you, just quickly cover up and say something like, "Excuse me, I'm not dressed – could you please knock before coming in?"
If they refuse and continue to invade your privacy, there's a chance they may be trying to "catch" you (as you describe it, a word JackinWorld dislikes because it implies you're doing something wrong by masturbating). In this case you may have few options other than masturbating late at night, or when nobody is home, or in a private place away from home. When you're old enough to move out, you won't have these problems anymore.