I would have to concur with Redpepper and Autumnaltone on this one. If they were single guys, and were not involved with anyone else, you would be good to go. If they were involved with someone, and were in an OPEN relationship, then you would be good to go.
HOWEVER, since they are not...I would tell them flat out, that they either need to open their relationship, or stop doing things with you. If the former is not possible, then the later should be their option.
There is a lid for every pot...Sometimes even two or three...