"Having undressed themselves, they went to bed" the russian verb is reflective?
Yes, but this sounds unnatural in English. To refer to undressing oneself, it is simply used intransitively.
"having their clothes off, they laid to bed" would you please to tell me what's wrong with it?(except with the first part...the second is clear( пошли спать, легли спать generally has the same meaning in Russian)
"Раздевшись" specifically refers to the action of undressing — removing clothing. "Having [one's] clothes off" is passive — it simply says they had no clothes on when they did go to bed, without implying that they took them off, beforehand, as a prerequisite.
So all reflexives act as "having done this thing to myself" (like perfective) and never like imperfectives (doing this thing to myself)?
is this the same euphemism in Russian as it is in english? (to go to bed with someone generally means sex) come to think of it, so does to sleep with someone. I guess context is all...
Not in this particular wording. While, obviously, "спать вместе" has all the same connotation as "to sleep together", the exact phrase "они легли спать" is unlikely to be interpreted as a euphemism for sex.