I can't speak to whether playing alone first is common or not. Though, I doubt it is. For my wife and I, we played together for some time before solo dates began happening.
I think that what underpins this is the strength of your relationship. If you're 100% open with each other, have a deeply close love for each other and are very much interested in the happiness of each other, this could work well.
That said, even though I have that in spades with my wife, the first time she went on a solo date I was a jittery mess. I was absolutely nervous as hell the entire evening. Most people note that swinging is a shared experience. Some couples refuse to do solo dates for this very reason. But, solo dates can work. For us, the "reclaiming sex" when she comes home is rather intense, as we make love while she tells me what she did with the other man. I would suggest that if your wife isn't willing to be completely open with her experiences having sex with another man (and you can discuss this beforehand), then the two of you might not be ready for it yet. I know some people would find it very hard to accept their spouse having sex with someone else, have their spouse come home, and then be left in the dark about what happened. I wouldn't accept it. Swinging IS a shared experience, and if I can't relish in the telling the events of her evening I would feel distinctly left out. That way leads to damage to the relationship. Either you're open, or you're not. If you're not, swinging is a recipe for disaster.
Nowadays, my wife going on a solo date is not unusual. She has had a couple of regular boyfriends over the years, and going out with them was hardly unusual. She'd always share with me where she was going to be, and share the details when she got home. It works well for us. Part of it is that through these years we've had a couple of kids at home (they're almost at the point of leaving now), and the reality is that getting time for both of us to get away has often been difficult to do. My wife also enjoys playing solo for the same reason your wife seems to have; it is a different experience to be able to focus solely on the guy than to have some of her focus diverted to me.