After changing in the apodyterium and working up a sweat in the palaestra, you would step into the tepidarium. This was the first stop on the way to the hot caldarium and then the cool-watered frigidarium.
The tepidarium was the place where "strigiling" often took place, the Roman habit of using curved metal tools to wipe oil, and with it sweat and dirt. Instead of using soap, Roman bathers would cover their bodies with oil to loosen dirt and then wipe off the mixture with various strigil devices. This might have been done by your own slave, if you had one, or by one who worked at the baths, if you could afford one.
Depilation was never fun.
You could receive a massage here. That was definitely less painful than a depilation, which consisted of having your body hairs plucked out, as hairless bodies were fashionable during much of the Roman Empire. One man who lived above the baths complained of the "hair-plucker with his penetrating shrill voice—for purposes of advertisement—continually giving it vent and never holding his tongue except when he is plucking the armpits and making his victim yell."
The often-gloomy Roman emperor Marcus Aurelius could have been describing a tepidarium when he said: "What is bathing when you think about it—oil, sweat, filth, greasy water, everything loathsome."