There is some strict Hamam etiquette to be followed. For starters, there is no mixing! Either the Turkish bath has two sections, one for each sex, or it admits men and women at separate times of the day.
Men usually completely strip down and wear nothing underneath the bath-wrap (it calls peştemal) . Make sure you remain clothed with the bath wrap at all times. Women on the other hand mostly keep on wearing their underwear (but often not their bra) underneath the bath-wrap. The choice is yours.