Make yourself comfortable.  If your therapist needs you to adjust your position, he will either move you (for instance lift your arm) or will tell you what is needed.  Otherwise, change your position anytime to make yourself more comfortable.

Many people just close their eyes and relax completely during a session; others prefer to talk.  It's your massage, and whatever feels natural to you is the best way to relax.  Do not hesitate to ask questions at any time.

The desire to sigh or take a deep breath is a sign that you are relaxing.  In fact, deep natural breaths can actually help you relax.