No problem at all. You should move things at the pace of the slowest person. If that is her then don't do anything until she is ready.
However, I have to warn you that you might get more than you bargained for in an on-premise swing club. Private rooms aren't really meant for one couple.. usually for two. While there is nothing wrong with strictly playing with your own partner at any swing club, I think you might find that there is pressure to at least do it in the open. If she's not comfortable watching or being watched.. you might have a problem. But you won't know until you try.
Personally, I would suggest that if your main purpose is to meet other people that you can talk with openly about sex that you try an off-premise club where there is no sexual pressure. Just a thought.
Julie
http://www.swingersboard.com