Relax! Fall asleep if you want!
It is your time, and whatever feels natural to you is best. Many people close their eyes and relax completely during a session; others prefer to talk.
It is helpful to focus on your breathing during your massage to help your mind and body let go. Relaxing music may be played to help you unwind and focus on the changes occurring in your body. Or to help you fall into a refreshing nap.