I think just as there is no "right" way there really is no "wrong" way to meet people either. It comes down to what works best for you. Internet personal ads will get you more responses faster, however you will have to weed out a lot of fakes moreso than you might in a magazine. Magazines usually don't have direct contact and charge people to reply to you so they are more often sincere replies. As to clubs they give you a good opportunity to meet people face to face right from the get-go.
More importantly is for you guys to decide how you want to go about fulfilling your fantasies. Do you want just find someone to fulfill the fantasy (one night) or do you want something longer term where they can help you fulfill many fantasies to come. Have that in mind before you start looking so you can include that info in your ad for more targeted responses or so that you can have a clearer view at a party/club of what it is you want for that night. If you are looking for someone longer term I'd suggest you get to know them better ahead of time.. more often playing at the first meet is like screwing on your first date.. chances of seeing them again are slimmer (it can happen.. but it's less likely).
And don't worry you can never be too selective or choosy. Don't let anyone push you into anything.. just wait till you find the right one(s) and go from there with what you feel comfortable with.
Julie
http://www.swingersboard.com