We've had a pair of threesomes, but that was more being horny and exploring our sexuality than the more all-encompassing lifestyle that I understand poly to be.
The gradual approach is probably a good idea. You're right, I'm in no rush. My wife is pretty sharp, so she'll probably connect the dots of "Hey, turns out So-So is polyamorous, and we were talking about XYZ; what do you think of that?" with "This interests me," but it's still a lot less dramatic than "I think I've discovered a completely new part of myself; we need to change our relationship."