As a rule, massage is given while you are unclothed. We provide a top sheet or towel. Modesty and comfort levels vary from person to person.You may choose to wear under garments or nothing at all. 
This is your massage and you should feel as comfortable as possible. 
During your massage you may want to give your therapist feedback as to pressure (deeper or lighter) or point out painful or ticklish areas of your body. 
Feel free to ask your therapist any questions about their procedure. 
Your therapist is a highly trained professional, and will be happy to make you feel well informed and comfortable.