You should undress to your comfort level. The massage therapist will work around the clothes left on the best they can. You should realize that this may mean that certain areas of the body may not be massaged at all, or may only receive minimal work there. If removing all your clothes makes you too nervous and unable to relax, then receiving a massage that way won’t allow you to obtain the optimal benefits from it. The pieces of clothing left on the most often are underwear. Some therapists will insist that you leave on your underwear. This will be for the therapist’s own comfort level, and in some cases is required by law.