While it is clear that you've all talked about it to some degree, I'd still follow a couple general guidelines that I think will keep things much clearer. Someone above said:
"...Make a threesome that he is the center of attention..."
This is the true recipe for disaster. Why?
1. You and him are a couple. Unless everyone can truly say consistently and with completely honesty that they're "okay with anything goes", your best bet is to approach this as a COUPLE, welcoming a third. Setting out specifically to make the man the center of attention is gonna be the wrong way to go, trust me. At the very least, he ends up being a "movie director" for the entire encounter. And at the worst, he starts to believe that ALL threesomes are about the man, which they most definitely are NOT.
2. If anyone should be the center of attention at all, it should be the welcomed third. That's the only way she's going to feel comfortable doing it again, and it's the only way to ensure that she doesn't end up feeling like she's just there as a new bedroom novelty for the two of you. Without going overboard, make her feel like the focus, the princess, the one for whom you are grateful for enhancing your already well-working lives together.
3. Don't let the fact that he's uncomfortable with the two of you 'playing together first' be a deal breaker. Look, some men are fine with the girls 'going off to play together', while others just get a funny feeling about it that they cannot explain, perhaps because they cannot fully understand it themselves. One minute they might be horny and thinking with their groin, and the idea of you going off and "warming up" a potential threesome girl really makes sense to them. The next, they're thinking with their head, and their gut and emotional state just tell them that you being with another person in such an intimate way, without him, just doesn't feel right, and makes him feel left out. He might even be worried that after you two have your tryst, that the threesome might be called off altogether, in which case you got to have your fun and he walks away with nothing. And don't forget the precedent it does set -- that you are both agreeing that it's okay to play alone, not just with this girl, but with anyone else that comes along. That's a big step for a relationship, and definitely not for everyone.
So don't let the lack of an initial F-to-F-only encounter be the end of it. Do this TOGETHER, and focus on the person that has opened themselves up to walking, literally into the middle of the bedroom, of an established, committed relationship. I'm willing to bet it's the better man that feels that twinge of uncertainty about playing separately, and is comfortable enough telling you, rather than just letting it happen and then feeling horrible about it later and having your relationship suffer as a result!
Trust me -- me and my man recently discussed it ourselves, and he too was not comfortable with me playing alone. And you know what? it was a great conversation, and I was ready for whatever answer he needed to give, and I made it OKAY for him to give whatever answer he needed. So we don't play alone. Big deal. It shouldn't matter, and it doesn't... we're a couple, and we can play as a couple and dote over any third we bring in, and she's pretty much guaranteed to have the time of her life. And that, in turn, gives us what we need too.
Sorry for the length, hope this helps!