I don't find it different from thinking about a loved one when you're out with a friend... It would only be hard if I had to hide it. Usually I talk about it, the reason why I'm thinking about the other person, what we did last time we talked, etc.
And then I enjoy my time with the person I'm with. I'm not sure how it would work with both of them being here, since the holidays will be the first time with all three of us being in the same place. I'll tell you how it went after the holidays are over, I guess!