First: go with NO expectations other than having a fun night out with your SO. You don't need to be feeling any pressure, especially self induced. Just have fun...it's just a bar with dancing and other couples just like any bar...of course you will probably see more skin than you would ever see at a normal bar and maybe even watch what some people only do in the privacy of their bedrooms, but that's the point in going, right?
Second: You're not interested in full swap at this time so even the slightest possibility of full swap is off the table and not going to happen. Maybe remind your man of this just so you are both on the same page. Never move faster than the slowest person is comfortable with. You are not comfortable with this at this time so it isn't going to happen (currently it should be one of your 'rules' and should not be changed unless discussed and agreed upon in the future outside of the possibility of it happening).
Now, go and have a good time. It's okay to be shy, but at the same time, be nice. Say hello and be polite like you were taught. Swingers are friendly people and want to get to know you. There IS a big difference (and it's easy to spot) between shy (uncomfortable to be there) and not interested (I don't want to be there, go away). Walking thru the door will probably be very hard and uncomfortable to do, but by the end of the night, I strongly suspect that you will look back and think how silly it was for you to have been worried about it.
When you get there, if you tell the desk that this is your first visit, they will usually give you a tour, show you were everything is, and make you feel more at ease with everything. Let others know that this is your first visit (great conversation starter). Usually, IF anyone is thinking about wanting to play, someone will mention 'what are you looking for?'. Don't be afraid, just tell them what you are interested in. Finding a single woman will probably be hard (they are called unicorns for a reason), but finding another couple willing to allow only the women to play is a very real possibility (if we were there and felt a connection, we would be game). Just plan on having a fun night out and you will do just fine. Most swingers don't bite (too hard and only if you ask) and are very nice and friendly.
I think you will find that it was much more exciting than you expected...and it usually leads to some great sex when you get home (sometimes before you get home ). Let us know how things went and we will you a great evening!