What clothes should I wear to a spa? While you're likely to spend much of your time donning a robe once you're at your selected spa, choosing clothing to arrive . 22 Mar You can keep your clothes on in several other massages and spa treatments if you want to ease into it. One of the best massage treatments for. King Spa & Sauna: You don't have to be naked! So you take off your clothes and lock them in your assigned locker, walk over to the wet room and shower.