I usually strip down to my underwear and then cover myself with the sheet when I lie down. The massage therapist will knock on the door and then come in.
They generally start on the shoulders/neck area. When they move from part to part (leg, arm) they will uncover that part for the massage - they really want you to be comfortable.
May I suggest that you ask them first for a scalp massage - it feels soooooooo good ! It is an instant tension reliever (especially when I start laughing )
When I got a facial I had to only wear my panties as well. I thought that was quite odd since they were working on my face...but I'd love to get a massage some time!
I have been seeing a deep tissue massage therapist for over 4 years now. When I first started w/her I wore just white cotton undies (TMI!!) but after trust and comfort were built up I wore nothing - and she works much more efficiently that way. If it's just a spa package you are doing or a one-time thing--? then simple underwear is just fine. It's what works for you is most important as it's your treatment and time for stress release and relaxtion.
ENJOY. It's my favorite thing!