Welcome to the Swingers Board, you've found the right place to get answers to your questions!
Nothing wrong with taking it slow. One of the things you'll read here a lot is "go at the pace of the slowest partner."
Along with that though is the #1 thing you're read here in some form or another and that is Communication. There must be good communication all the way around, not just between you and your boyfriend, but also between you and potential playmates, and him and potential playmates. Good communication where everyone knows what to expect will head off 99% of any potential problems with crossed boundaries, broken rules, disappointment, etc.
Finding people is always tough. It takes work and patience! But when the search pays off, it can be awesome. Online vs clubs is sort of a personal preference. Some people just aren't into the club scene and like the slower pace of finding someone online and then feeling them out during one or more meets for drinks or whatever. If you have a certain scenario in mind, and it sounds like you do, then communicating that in a club hookup type situation and everyone talking it through and getting comfortable might be a little more difficult than the slower pace of meeting someone online. Without a doubt though, one night at a club will put you in contact with more potential playmates than months of searching online and meeting up to feel each other out.
Some people ask for STD test results, but it's a small percentage. For one thing, that only tells you what things were the day of the test, not what things are now. Like most things in life, there is always an element of risk, and you just have to evaluate where your risk tolerance line is.
Jealousy is best dealt with through communication. If there is good communication, there should be trust, and trust is the antidote to jealousy.