Oh, this is such a broad topic, but I think that it boils down to what you said, it's a matter of getting to know oneself and understanding our limits and our preferences.
And about your questions, I'd like to address them, if you don't mind:
· Can or should a threesome be considered an act of infidelity?
· And fantasies? Is having them cheating?
Threesomes are consensual, and if both parts of the marriage agree to it, how could it be considered "infidelity"? (Unless we can be guilty of "unfaithful thoughts".) But it is a fact that many people tend to have sexual thoughts about other people regardless of whether they are their partner or not, so I don't think that a partner could be angered by someone else's thoughts instead of their actions (like proper cheating).
· Is cheating a sin?
Does a God exist? Or some supernatural force that regulates life and creates what "sins" are? If so, then we'd have to ask them what they think about cheating. If not, then there is no sin but immoral acts (condemned by social convention).