Depends on what you're comfortable with in the relationship. If you don't tend to be the jealous type and feel okay with sharing your partner with someone else (and if s/he feels the same towards you), then it might be something to discuss. Might be best to outline any boundaries beforehand just to make sure that nobody's feelings get hurt in the process. Promise not to cross those boundaries, communicate the hell out of the situation, and all should be well.
Personally, I have never had a threesome and won't while I'm with my current boyfriend. We established early on that we wish to be fairly strict monogamists. But that's just our personal rule. Do whatever suits you.