While it may seem a simple thing, like Mucha said, you need to talk this from every angle. But who REALLY needs to think it over is your fiance. If things turn awkward, I see this affecting their friendship more so than your relationship.
However, I have known people who thought they were totally ready for a threesome have one and then it promotes bad feelings somewhere in the triangle.
Most of the time I would advise to just leave it alone. But if you are set on having one maybe pick someone you both dont have such a close relationship with.