I have one of those relationships and my wife and I have enjoyed it immensely, the sex life skyrockets! We have been together for 13 years and one positive I have found is it is a turn on to know that your partner is still sexy to others.
Going to a swing club is a great beginning most of them are really relaxed and easygoing, no one is gonna pressure you to go beyond your limits. Chances are she will be the one getting hit on at the club, not you.
BUT to make it work there are 4 things that are musts.
1. COMPLETE open and honest communication
2. jealousy will be there at some point, learn to work through it.
3. It is sex, not love. They don't have to go together, most guys already know this
4. It is not cheating if your partner knows and accepts it.
If you do it right, both of you will really enjoy it! There are forums out there that can help that have both male and female views.