Bad, You're in love with an ex-girlfirend while dating someone else. Worse, you're about to be married which is a huge commitment. Even worse yet, you're haveing sex with your ex. Does your fiancee know you love this other women, and are having sex with her. This is probably why you do not feel comfortable being intimate with your fiance. I think you should go with plan 3 because you do not deserve any better. That's just my opinion