If you ever make it to Toronto, Canada, check out The O Zone. Close to the airport, and a quick cab ride to the front door. The O Zone is very much like a regular night club, just sexier and with a theme every night to encourage costume wearing and sexy attire. They don't allow nudity or any play in the night club and social areas. But once you pass thru into the back area, where the playrooms are, you can enjoy a different atmosphere. By keeping the front night club 'ordinary', they attract a LOT of newbies and those who aren't as interested in swinging or public sex, who just enjoy the sexy atmosphere in a night club that isn't full of 20 yr olds.
As suggested, try a Sat night... O Zone doesn't allow single men on Sat's. That can really change the atmosphere. GoldCoCOuple totally have it right! Go and enjoy yourselves with no expectations and you'll go home for the best night of sex you've ever had.