Woah woah woah! It's not ok to "practice" with someone's heart.
You're right, this dude is going to get hurt one way or the other. The question now is "how"?
Option one. You break up with him and lie about why. There's every chance he'll realize that your reasons for breaking it off don't quite add up and he'll be left wondering what the real reason was and without a sense of resolution. But hey, that happens often in the dating world, no big deal right? Actually sometimes it can hurt a lot. Chances are good he'll get over it just fine, though.
But what about if he finds out you were married the whole time? I can't imagine it would take that much digging to find that out and any jilted lover can be forgiven just a tiny amount of forlorn stalking (googling your name, asking people about you, that sort of thing). How shocked and betrayed will he be to find out that you lied to him like that? Plus, he will naturally assume that your husband doesnt know and he may feel guilty for participating in the "betrayal" of your husband on top of everything else. What a cruel load of crap to put on someone you supposedly like.
Option two, you let it run its course, which I can only presume means you think in time he will break up with you or you two will naturally drift apart. Now, here you get some though not quite all of the potential painful fallout from option one. But what if it goes the other way -- what if more time together leeds one or both of you to grow closer to the other, maybe even fall in love? Feelings are unpredictable, after all. At this point, discovering the lie either by accident or by you telling him will be a millon times more painful then it would have been in option one. A truly terrible bombshell.
Option three, you tell him now, the very next time you see him. You apologize profusely for not bringing it up before and explain that you were afraid. You say that you expect that he will probably want to break up but if he's willing to consider the idea of continuing dating you'd be happy to introduce him to your husband so he can be assured that things are on the up and up. You actually practice poly, which is about honesty rather then lying and toying with someone else's feelings.
Do the brave and hard and RIGHT thing here, Missgt. Give this guy a chance to make his own decision. I can certainly see why you would want to find an easier way out. No one wants to be the bad guy and chances are good he'll see it that way when you tell him. It's an uncomfortable situation, no doubt. But you can do this, and this is the ONLY way that he can learn the truth (and really, you may find the idea unlikely, but he *could* find out even if you don't tell him) in a manner that let's you have a *chance* of retaining his respect. Maybe a friendship can be salvaged even if he doesn't want to keep dating. And at least you'll have your self respect.
He may surprise you by being more open-minded than you think... maybe he's considered poly before himself, or maybe he might find the idea intriguing. But if he really is as monogamously-minded as you suspect... doesn't he deserve the chance to find a woman who can give him what he wants rather than being led on by one who can't? He's a human being with a heart, not an experiment as you ease your way into a real poly.