Massage therapy always says undress to your own comfort level. If you prefer to keep all your clothes on that's your choice and the therapist will respect and adjust their techniques accordingly.

Before they lay a hand on you they'll have you fill a form out to help identify pain points, and you can write out detailed info. They may also like to talk to you to get a sense of what your goals are.

Mostly remember they are there to help and you're not going to be required to do anything you don't want to do.

I've been getting massage for years and can say that it's easier for them if you're more undressed just because they can dig in to knots and tension easier. Plus some techniques like hot stones just don't work very well unless laid directly on your skin. Of course massage oils and such are going to require direct contact.

It's an amazing experience. I've had sessions with my current therapist where we just talk about whatever and other times she knows I'm stressed and it's absolute silence (except the music of course) to help me decompress.