Ironically, we'd recommend the opposite: avoid swinging with close friends (because things can get "weird" really easily and you could end up losing a good friend) and try going to a swinger's club. When you say "a place like that", it tells me that you have a preconceived notion of what goes on there, and what the people are like. Drop whatever you've heard or imagined and just go some evening with an open mind. Promise one another you're only going to check it out - not to have sex with other people yet, no matter how comfortable you may end up feeling. Stick to that rule. Dance and flirt, enjoy others' company, and play only with each other for that one night. Go home, hump like bunnies, and talk about what you liked and didn't like. It's not a meat market, there are no expectations of anyone (especially those new to the lifestyle), it's a gender-neutral zone (where, if anything, women have slightly more veto power than men), and polite, courteous, respectful behaviour is not only expected but enforced. If anyone breaks the golden rule ("No means no"), they risk being ejected by the bouncers. Clubs are a lot of fun, actually.
But I would seriously avoid trying to make a swinger out of an already close friend. It works well the other way around (making friends out of your swing partners), but rarely works this way. If you are serious about wanting to revisit this fantasy after you've gotten some experience under your belt with strangers who, otherwise, have very little impact on your day-to-day life, then by all means do so. But right now, you're in the experimental phase. Do you really want to turn your friend into your guinea pig? You'll be dealing with all sorts of new feelings and dilemmas that don't need the additional complication of putting a friendship at risk.
Do yourselves a favour: find a nice couple who have been into the lifestyle for a while. They're more likely to be a very "together" couple, fully relaxed, non-pushy/non-aggressive, fun to be with, with fewer hangups...because they've dealt with theirs already and found what's worked for them. TRUST me on this. Our first meeting
sucked big time. They were a newer couple who were into swinging for all the wrong reasons (He, just to get some fresh ass, and she, just to keep him happy so he wouldn't cheat on her), and we were immediately turned off by their unpreparedness. The next couple we met (and played with our first time) were 180 degrees the other way. They had experience, they had a great relationship, they were very relaxed and put us at ease right away, and they were a lot of fun to hang out with. They showed us exactly how and why the lifestyle works, and how it can fit into a healthy relationship. Our first experience (although there were some snags...entirely our fault) went beautifully.
Just my 2 cents.
Hope it helps some.