We started off very much like the two of you. Some of our best experiences were at "on-premise" clubs (meaning they allow sex there), where we could watch and be watched. Some also have "group" rooms which were fun to have sex right near others but not swap. The key is to just talk it through, make a date, and go. Don't worry, if you are anything like us, you'll be extremely nervous. It's natural. You'll find, though, that after about :30 minutes that the nervousness will just melt away.
Go early so you can meet the hosts and perhaps meet a few people. You'll quickly find that 99% of all couples in the lifestyle are extremely respectful. No means no. You may experience some light touching (ie, back rubbing) in really close situations, bu if that makes you uncomfortable, just move over or say that you aren't ready for that.
We moved on to having couples to our house for same room sex and that was fun also. Key is to be clear between each other what your rules are and make sure you voice those rules to others.
At some point you may want to explore more, and this is a great place to get opinions. If not, that's perfectly fine too. The lifestyle is full of a wide range of people and experiences!
Enjoy it (and enjoy each other, because that's the whole point!)