"I do not work on Mondays."
Translation:Eu não trabalho às segundas-feiras.
A good way to check for yourself whether a particular collocation works is by using the site http://www.linguee.com/portuguese-english. If I enter "nas segundas-feiras" I get a number of hits which seem to be translated as "on Mondays" so that leads me to believe it is valid. Of course, you can't beat getting advice from a native speaker, but this is the next best thing.