I like telling naughty tales during a session
I'd say all of the above, it just depends on the chemistry between you two. If you're with a regular massage therapist, you might let her take the lead on naughty talk, just to make sure you get to go back. Keep the personal talk to a minimum and never, never, never share specific details about your personal life. You can say you're a computer programmer but not that you work at such-and-such on Alpha, for instance. I can't tell you how many clients I've stopped from revealing personal info to me.
Not all women are comfortable with or good at hot conversation. If you find one, share her info because I'm sure lots of guys would want to know. Just go with what feels comfortable.