When we first started out we decided to turn to an old fuck-buddy of hers for our first MFM. She trusted him, was comfortable with him and I trusted her judgement. We knew that he very much wanted to have sex with her again but when she brought up the possibility of a hetero three way he suddenly got very uncomfortable and declined.
For us, swinging is for both of us to share and enjoy together so we do not play separately at all, not even separate rooms. However I know nothing of your relationship so that view of the lifestyle may not apply at all to you. Regardless, I would suggest that your first experience be an MFM at least, for many reasons. Naturally you want her to live out her fantasy the way she wants it but you can always do that after your first experience together. Heck, an MFM could be a good way to "screen" the guy to see if you are comfortable with him having sex with your wife when you're not around. Again though, it can be difficult to find men that are ok with this.
Our initial fantasy was an MFM but it has never happened. After things with the friend didn't come together we tried AFF, yahoo, craigslist and some other things but never did find any one that fit the bill. So we turned to couples instead and have managed to fulfill bits and pieces of her fantasy to have two men and mine to see her with another man. Having the second female there turned out to be an added bonus.