My husband and I used to do that all the time. We basically navigated the world by bathhouses - whenever we visited a new city, one of the regular tourist things we did was check out the local bathhouse. We would pick up a third together, or occasionally let each other go and get someone on our own and meet up again later.
It didn't cause any problems for us because we always trusted each other to be safe, and it was always understood that this was just about sex, nothing more than that. Frankly there are too many hot guys in the world to deny ourselves the pleasure. We know we're going home together.
Of course this was several years ago now - these days with the lack of use of condoms, neither of us would feel comfortable with it anymore. Plus as you get older it's just too much effort. It's easier to just sit on the sofa and watch telly.
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