You should undress to the level you are comfortable. 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. Note that you will be covered by a sheet and blanket at all times, with the exception of the area currently being worked on (ie. back, one leg, etc).
For a full body massage, most get completely undressed. However, if you will be more comfortable during the session if you leave your clothing on, that’s fine. The pieces of clothing left on the most often are underpants.
If removing all your clothes makes you too nervous and unable to relax, then you are not getting the optimal benefit from the session. Your massage therapist will step out of the room to give you privacy to undress and get comfortable on the table underneath the sheet and blanket.