Make yourself comfortable. If your therapist wants you to adjust your position, she/he will either move you or will ask you to move what is needed. Otherwise, change your position anytime to make yourself more comfortable.
Many people close their eyes and relax completely during a session; others prefer to talk. It's up to you. It is your massage, and whatever feels natural to you is the best way to relax. Do not hesitate to ask questions at any time.