First of all you should have a clear idea of what you expect from this experience and try to make a plan of actions. All that preplanning will help you to avoid the mistakes and to enjoy your threesome experience fully.
Usually the most desirable for men type of threesome is with two women. Some men include their girlfriend or wives in threesome activities, the others dont. Well, it all depends on your imagination and sexuality.
When dealing with this kind of threesome a man should understand that the comfort of his woman (if she is involved) must be his first and major objective. This kind of experience with affect your relationships for sure, therefore try to avoid anything that would be uncomfortable for her. Keep in mind that you should give your woman the most of your attention in order not to cause her being jealous. Assure your girlfriend that she is your prior concern and its a pure experiment for fun.
Never forget about safety. Use different condom for each partner and different hands for pleasuring each woman. For safety reasons it is better not to swap hands. The same safety rules are applicable if you use different sex toys during your play....