My thoughts, for what they are worth. I suspect it depends a little on what your situation is with you,and your partner to start with, as in, is it a 'vanilla' relationship that is kinky, or are you in a D/s situation etc etc. Either way, communication is your friend. Have you spoken to him about how you feel about him being with someone else-that may not be an issue at all, but it could well be that that will be the next suggestion.

from a kinky vanilla relationship point of view:
I have some personal experience, of being in an entirely 'vanilla' relationship dynamic with an ex who had a similar fantasy, it wasn't one of mine at all. Whenever it came up I would either change the subject or play along with the 'fantasy' of it for an easier life, hoping he would get bored of the whole thing. He didn't. He became obsessed with it, eventually I decided to tell him how I felt- that it did nothing for me at all and while I was happy to 'role play' or to keep it as a fantasy as part of our (monogamous) relationship, the reality of it did nothing for me, and in fact quite the opposite made me feel insecure and if anything turned off. So that was the end of that right...? Wrong, he would not or could not let it rest. I grew resentful that he insisted on talking about and pushing me into something that I clearly didn't want and started to think 'fine if you disrespect my feelings so much then I jolly well will go sleep with someone else and see how you like it' needless to say that relationship ended badly.

BUT you sound as if you are also interested in exploring this and that is an entirely different matter. only you know if your relationship will be up to introducing something like this, what I would say is that making the fantasy a reality will perminanely change your relationship dynamic not nessicarily in a bad way, but it will change it, so make sure you both know what you are getting into the risks and benefit of exploring this in real life and the potential fall out (and obviously be safe!).

From a BdSm point of view I can't really comment, maybe someone in here could help you with that? My feeling is that in a traditional D/s dynamic as a sub, your 'role' if you like, is to obey your Dom, exceptions being negotiated at the start of the relationship, so if a threesome was a hard limit for you, but has changed over time or vice verca, may be talk to him about it and go from there? But as I said, I couldn't advise you on that side of things.

Good luck with it all anyway!

xxisie.