If this lifestyle makes you feel uncomfortable, don't partake in it. He's probably not the right guy for you. You two need to have a few sit downs to discuss this openly.
Part of being a good man in a relationship is taking care of your woman. You want your woman to be as comfortable as possible. This is called being polite.
Tell him what you are telling us. And don't leap into a situation, where you make other people feel uncomfortable.