Whether you tip or not should be a choice that you make based on the service you received. Many clients feel they should always tip, just as they do in a restaurant. If you are one of those people, it is acceptable to either leave the tip in the room after you finish dressing after your massage or add to your payment when you pay. Many high end salons have a sign in the massage room with suggested tips.
A few of my clients do not tip. As a massage therapist, I do not find this wrong in any way. I would rather my clients not tip if they cannot afford to, if it makes it easier for them to receive regular massages.