You should undress to the level you are comfortable. For a full body massage, most get completely undressed. However, if you will be more comfortable during the session if you leave your underwear on, that's fine.
The therapist will work around the clothes you left on as best as he/she can. 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 should give you privacy to undress and get comfortable on the table. If you prefer to stay fully clothed, then I recommend you explore the many other types of bodywork that are performed clothed.
Honestly, its hard to say. Every person is unique and every condition is unique to each person. It may take one session or it may take several. You and your therapist will be able to talk more specifically about this after your first session and he/she has had a chance to evaluate your body's tissues.
We are located at St Quintons Road Gardens Cape Town South Africa 8001