Threesome sex first is a big jump for some people. That said, if you start out with the idea that you might just have a threesome with a person and then a relationship forms after that, then threesomes first can be just fine.
As for the idea that 'a man only has one penis', well this entirely neglects the fact that if you are a woman who is into other women, a penis is not the focus of sex. If you are looking for a triad to develop out of a threesome you need to do a lot of work on the same sex couple to start with. In a practical sense, this means NOT letting the penis be the focus of sex.