My fiancee's friend wants me!!!

I'm in a wonderful relationship with my fiance, he's loving and caring, he loves me soo much and even bought a car for me. He's on a course in Jaji Kaduna, I'm presently wit him. I came to visit him, but there's a problem. He introduced a guy to me as his coursemate when they were in NDA even though my fiance is an Airforce officer while the other guy is an Army officer, but they are very close. This other guy is very handsome and charming i must confess. The guy have interest in me, he always come around wen my fiance is not around. He do tell me how pretty and sexy I am and how he's good he is in bed. I became uncomfortable with him. Just last night wen my fiance was in class reading, he gave me his phone to go through his photos. I was shocked to see some of my sexy photos which my fiance snapped me half naked and some with only pants no bra. He said he stole the photos from my fiance's phone without his consent and since then he use to look at the pix and masturbate, and he'll do anything to have the real me. I deleted all the photos and walked him out of the house. Should I tell my fiance this or keep it to myself??? We are planning to get married early next year, I don't want any distraction.