Not sure if you're feeling guilty cause of the actual massage or what might have been racing through your head while you were doing it... maybe six of one and half a dozen of the other. I have to say, if I was the girlfriend and found out, I'd be less than impressed with either of you, (sorry, don't mean to sound harsh).
Anyway, I think you need to speak to your friend as it sounds like you both have feelings for each other. This is cool but you need to make sure that you both just want to be friends or see if you both want to take it a bit further and see what happens.
Hope it all works out for you whatever happens!