Your reply clarifies quite a bit! In that case, you should go ahead and enjoy all the fun that comes with it! Just make sure that you both communicate and discuss everything clearly... especially the awkward bits: jealousy, feelings of inadequacy, doubts about the relationship, etc. They may not come up now but can happen down the line. Keeping each other informed and being mutually supportive eases a lot of the pitfalls along the way. Also I recommend each of you have a veto power over their partner's lovers.