Baby massage is something I wanted to learn from the very start. I believe that massage therapy helps not only in terms of mother and child bonding but it is also helpful for the child's development.

Here is what I got from babycenter.com (my bible for my baby), regarding on how to give baby massage.

1. The Legs - Her legs are a good place to begin, as they're less-sensitive than some parts of her body. Using a little oil, wrap your hands around one of her thighs and pull down, one hand after the other, squeezing gently, as if you're "milking" her leg. Switch legs and repeat. Take one foot and gently rotate it a few times in each direction, then stroke the top of her foot from the ankle down to the toes. Switch feet and repeat. Use your thumbs to trace circles all over the bottom of each foot. To finish off the feet, grab each toe between your thumb and forefinger and gently pull until your fingers slip off the end. Repeat for all ten toes.

2. The Arms - Take one of her arms in your hands and repeat the milking motion from her armpit all the way to her wrist. Then, take her hand and gently rotate the wrist a few times in each direction. Switch arms and repeat.
Trace tiny circles all over the palm of each hand with your thumbs.
The fingers - Gently take a finger between your thumb and forefinger and pull, letting her finger slip through your grasp. Repeat on all ten fingers.
 
3. The chest - Put your hands together in prayer position over her heart. Then stroke your hands outward and lightly flatten the palms down over her chest. Repeat several times. Place one hand flat across the top of her chest. Stroke it gently down to her thighs. Repeat the motion, alternating hands, several times.

4. The back - Roll your baby onto her tummy. Using your fingertips, trace tiny circles on either side of her spine from the neck down to the buttocks. Finish with some long, firm strokes from her shoulders all the way to her feet.
When you're done, put on her diaper and cuddle or breastfeed her. She'll likely doze right off.