Welcome to our forum.
We have got to know Kay a little and it has been enjoyable. Now it's nice to meet you too!
I can relate to your feeling afraid, as most of my life has been haunted by fears. I also had an upbringing comparable to yours -- very religious and sex-negative. It took me a long time to get to the point where I could accept poly as part of my life.
I think the secret here, in your situation, is to take things slow, and to do lots of communicating with Kay, O, and Kay's friend. Find out how everyone's feeling a lot of the time. Also let people know if you need reassurance.
It is difficult to realize one is poly-inclined in a world that is not inclined to accept poly. I think participating on Polyamory.com will help with that. It will demonstrate to you that many other good people are poly too.
Be assured, from my point of view, that you are a good and worthy person just as you are.
Love means never having to say, "Put down that meat cleaver!"