Thank you for your advice and perspective, all of you.
They have actually done this before. She has asked me To go on dates with them and just with him, which hasn't happened yet...I have had too much going on to really invest a lot of my sparse free time into the relationship, especially since up until now it was strictly sexual.
It would make more sense to me if He had started the whole thing and she was a reluctant, maybe jealous participant, but it was her idea. She sought me out. And if I am going to be not dating or banging anybody else, seems like they would step up to fill the positions.
I like them both but I will admit, I do like him a little more. And I honestly think if he and I could be alone (never have been) or even communicate directly with each other, we would become very close.