It depends on the spa as to whether your naked for the mud wrap, at my spa you are naked but draped with a towel, covered in mud then wrapped in a sheet and heat wrap. A hot stone massage is the same as a regular massage the only difference is that some of the strokes will be done while the therapist holds the stones in their hands, it does not hurt, you should not get burned, the therapist will be holding the stone the whole time so if your getting burned so would she! the stones should never be under your body while hot as this could result in a burn, so you should make sure your therapist is trained in hot stone therapy, its actually very relaxing!