It really is up to you. One cannot decide for you to get a massage or even whether to go--that's all up to you. My Dad & I went to Szchenyi baths when we went to Budapest in 2010, but there are others. Please note that some of the bath houses are only available to men, and some are only open to particular genders on certain days, so depending on the bath house you choose, this should something to keep in mind, especially if you want to go with your wife.
Although Szechenyi is probably the most tourist-friendly, I did find the language barrier to be a huge problem. From what I've read of the other bath houses, it is even more of a struggle. So, come armed with some Hungarian and a lot of patience.
To be perfectly honest with you, while it was a great cultural experience and don't regret trying it, I could've done without it. But that's me. You may have a different experience.
Hopefully one of our frequent Eastern Europe posters, Warlord, will return to the forum. I'm not sure if he's been to a Hungarian bath or not, but he usually has a lot of great information. So, if he's been to one, I'm sure he will give you some great tips.