Having a massage can be a very helpful and good thing. It can ease tension in the muscles and help a person to relax.1
Of course, as with anything, a massage could be sinful because of the attitude the person has whilst receiving a massage (Mat. 15:19-20). A massage is not sinful in and of itself (in fact, it could be rather helpful); but if, for example, a person had inappropriate, lustful thoughts (Mat. 5:28) whilst receiving a massage, then that would be sinful. This is true of anything, though (e.g., football is not sinful in and of itself; but if someone developed hateful thoughts [Mat. 5:22] towards other players then that would be sinful): massages don’t need singling out particularly.
In sum, a massage isn’t sinful in and of itself; rather, our thoughts can be sinful.
1. ‘Seven relaxation tips to help headaches‘ on NHS Choices (accessed 25/3/11).