Miko and I both love our massage sessions. Infant massage can be a great bonding experience for Mom and baby and I think that is the reason we both enjoy it so much.
You don't need any special training, just a desire to spend some relaxing minutes with your little one. You will need some lotion or non-allergenic oil, grape-seed oil is a great choice, as well as a blanket placed in a warm and quite room. As you can see, I just follow along with an infant massage book that my Mom gave me (link here). It's very easy to do, and you can definitely do it without a diaper, just be prepared to get peed on :)
Start out when your baby is in a happy-alert state and be sure to stop if they show signs of discomfort or fussiness. You can also do some stretches if your baby makes it through all the different massaging techniques.
Yes, we both love massage-time, that's for sure!