Echoing the talk, talk, talk. Imagine going in for a job interview where you have no idea of what you are doing, who you are working for or what is to be expected of you. It is a situation begging for disaster.
My suggestion. Really look at the insecurities that are bothering you. Shine the biggest spotlight on them and scream them from the rooftops. Also ask your SO what his insecurities of the situation might be. Talk about what wouldn't be hot- how do you meet this girl, where do you play, do you allow her to stay the night? Are there sweet things that he and you do together that would make you feel uncomfortable to see him do to another woman? A way he kisses you or grabs your hand. Talk about all these things and process them before you procede.
Trust the wisdom here. Good things will come to a determined step forward, whether it be in monogamy or not.