The good news is that we have all been in the same shoes as the two of you at some point. The "Well it sounds fun, but...." stage, we (the wife and I) now call it. Cplnuswing's advice is very good (going to an onsite club is a great way to get exposure to swinging.) One of our earliest steps was to go to an on-site club to see how we enjoyed it. We honestly baby-stepped our way into the whole process. Our first step was to share fantasies, which lead to us talking about things like swinging, group sex, and gang bangs. For the next step, we started talking about the reality of trying those things and how that would work, which led us to buy some books on the subject and join this site (Julie, the owner of the site, apparently has a very good book on the subject). Our next step was to go to a strip club and have the performers give each of us private dances while the other watched. The point of this was for us to see whether it would excite us or upset us to see someone else touching our lover, turns out it was a great turn on. After going to the strip club we decided to go to a nudist resort for a weekend to see how we responded to being naked around others (kind of a necessary thing if you are wanting to swing). We both found the nudist resort to be very enjoyable and relaxing and after the first couple of hours we kind of forgot that we were even naked,although we did still notice that other people were naked:) After the nudist resort, we then took the step to go to an on-site swing club where we even ended up soft-swinging (no penetration) with another couple. After that we decided that not only were we not bothered by seeing each other with other people, but it was actually a huge turn on for both of us (To this day the best part of swinging for us is seeing the other give and receive pleasure).
Now not everybody goes about it as slowly as we did, but it worked really well for us. Ultimately, my only real advice would be to at least read Julie's book or another like it and then spend a month or two reading it and talking about the things you read with each other. As you guys discuss the book I bet you guys will start to get a feel for how you both feel about certain things and even how you guys would like to go about trying to taking the next step (if that is what you decide to do). We received a lot of different advice from people on this site when we were asking similar questions, but in the end what is good for the goose is not always good for the gander. The two of you together will have to really talk and decide what is best for you, because we are all a bit different. Some like to swing together only, some prefer to swing separately, some don't care one way or the other, etc. There are so many different ways to swing and to get involved in swinging that you will ultimately have to try some things for yourselves to see whether you like them or not. My wife and I only play together, we tried separately, but it freaked me out not knowing that my wife was okay and being treated well, so we don't do it that way anymore. We had to find that out for ourselves. Some people like to build long term relationships with their sexual partners, while other people prefer spontaneous (one night stand) types of swinging. My wife and I tend to prefer the more spontaneous types of encounters, because we aren't really looking for relationships as much as just some sexual fun. Which things will you guys prefer? Who knows, but part of the fun is finding out. Talk with each other and make sure you are both on the same page before each step you take, and then venture forth and see what you find. If you hit any road bumps there are great people on this site who will be happy to help as you guys reach those places in your journey. Good luck to both of you and we hope you guys find a deeper relationship and some wonderful sexual fun.