You can undress as much as you are comfortable with. Most people get completely undressed for a full body massage and wear a robe to cover up during the massage.
If you will be more comfortable during your massage leaving your undergarments on, that is also fine. Your therapist will work around the clothes you left on.
To get the optimal benefit from your session, you should be completely comfortable. Whichever way you feel most comfortable is ultimately up to you. Your massage therapist will always step out of the room to give you privacy to get undressed and comfortable on the table.