Fight what? How would you have been arrested? Do you think they're going to arrest you because they saw you entering a spa? Or are you worried about the 0.1% chance that they'll raid it precisely when you'll be there?
Being stopped and questioned is a legitimate concern. I'm married and self-employed, but my wife knows I get massages, so being questioned would not be a big deal for me. I can see where it might be a big deal for some married guys, though. For me, it's business as usual. In fact, I've gotten 10 massages at four different Central PA spas in the past 9 days without the slightest incident. (Yeah, it's a major binge, making up for several weeks of massage-less travel.)