You should be able to keep on your underwear, if you want. Normally, they'll tell you to strip down as far as you are comfortable. I prefer to leave on panties, but that's all. Usually, they'll start you FACE DOWN and they give you privacy to undress, etc. and will knock or make sure you are ready for them to come in. They will hold the sheet so that you can turn over and they don't see you or your parts as you turn over. They tuck the sheet underneath you so that they can expose what they are massaging, yet respect your sense of privacy.
Many will ASK if they can massage your glutes, abs, etc. Just let them know what you do or don't want. You'll love it! Try to focus on relaxing and NOT what you think they're thinking. They see all KINDS of bodies and I'm sure you aren't the first overweight person they've given a massage to.
RELAX! They are PHENOM!!