This is probably the easiest question to answer, and that is … wherever is most convenient for all parties involved. It seems to be more common for the couple to entertain the third person in their home. However, it certainly wouldn’t be the first time that a couple would travel to the third person’s home to be entertained, especially when the couple have children. I guess you can meet at a hotel, but from my many experiences, that’s not too common. Unless, of course, you’re at a swing club, which is the exception to the rule. Now, that can be a really exciting venue for a threesome, or a foursome, or fivesome.