Okay, I've done it a few times, in various situations/gender combinations. When my boyfriend and I were trying to find a suitable woman (my closest experience to your situation), we both found that it's really hard to make that final jump between hanging out together and actually propositioning someone. When you think about it, women can be so ambiguous and hard to read - I really feel sorry for men trying to figure out whether or not we want to "do it."
Obviously the common-sense stuff all applies, make sure you're really secure in your relationship, etc. The thing is, no matter how confident you feel in your and his feelings, what about hers? What if she gets hung up on one or the other of you and it gets sticky? Like some others said, I'd actually recommend getting a professional. That way there's no mess to deal with afterwards, and you don't have to play some drawn-out guessing game either.
It was fun but after having experimented I've pretty much decided I'm not the threesome type - I'm much better one-on-one when I can concentrate.
