I have not tried this myself, but I would be concerned with moisture damage. As far as I know, all condenser mics have vents to equalize the (static) pressure behind the membrane to the ambient pressure in front of the membrane, so you don't end up capturing variations in atmospheric pressure. This means that moisture can always enter the device through the vent (and perhaps via other paths depending on the mic construction) and potentially cause damage. I have read about certain outdoors test setup that include a small heating element to keep the mic at a slightly higher temperature than ambient temperature to avoid condensation, but I have no idea how easy and/or cheap it is to purchase/build one.
Also note that even a thin membrane over the mics will likely change their frequency response, especially at higher frequencies (I'm assuming you are looking into high frequency / ultrasound signals since you're working with bats?). The change in frequency response can be estimated by measuring test signals with and without the membrane, with some luck it might be very small and not matter for your analysis.
[Quick thought that just occurred to me: if you encapsulate the mic with a balloon/condom, the air inside the membrane will still have some moisture in it, and it might create some small condensation inside the balloon. Again, I have no experience with this, so I don't know if this is a significant problem or just a theoretical one!]