Let $G$ be generated by $n$ elements; then $G$ is the fundamental group of the wedge of $n$ circles (call this space $X$). A finite-sheeted covering of $X$ corresponds to a finite-index subgroup $H$. But if the covering $Y$ associated to $H$ is $d$-sheeted, then $Y$ has $d$ vertices and $nd$ edges. $Y$ is thus a finite graph, which therefore only has finitely many loops, and so $H$ is finitely generated (indeed, by at most $nd$ elements).
Further work shows contracting a maximal tree in $Y$ doesn't change $\pi_1(Y)\cong H$, so that $H$ is in fact free, on $nd-(d-1)$ elements.