I ask clients to undress to their comfort level and lie down on the table under the sheet, then I leave the room to give them privacy to do this. As I work on the body, I move the sheet away from the area where I'm working, then cover that area again as I move to another body part.
Most of my clients who have had previous massages take everything off. Many people are more comfortable leaving panties on for their first session.
State regs vary, but in my state genitals, gluteal cleft and breasts must always be covered and not touched. I don't uncover or see anything that would be covered by a two-piece swim suit.