I kind of thought everyone had. I am a bit surprised some people have never done it.
Of course, with any threesome, someone else is in the room - sometimes becoming a spectator for awhile. I've done this a few times.
In university, I lived in as house with a large number of males and females. There were always people walking in by accident (no locks).
My girlfriend at the time really didn't care if she was seen. She had experimented quite a bit sexually. So among the much closer friends (like my former roommate who lived there, his GF, a couple others others) if we were in a room and they needed to get something, they would sometimes make a comment ("I just need to get my book, don't worry about me"), watch a bit, get their book or whatever, then leave.
Usually, full sex in a room with others occurred when I have traveled. we would rent one hotel room with two beds, one couple per bed to save money (or one couple and one single). We never ended up swapping, but both or either couple would fuck on the bed with the other couple going to sleep, asleep, or having sex themselves. Also, if three people traveling with a couple, no need to be shy about sex.
A bunch more experiences, but all along these lines. I was never really shy about it, but I think any qualms people have had just disappear after you have done it once or twice, unless they are super-modest.