what is wrong with you man?
if you're engaged and still have another gf, then you clearly don't love any of them
why on earth do you bother with them?

and... if the girl knows you're engaged... I'm sorry, she got herself into this!

to break up with her you should just be honest: tell her you're dont want to continue this relationship because:
a) you don't love her
b) you got bored
c) you're scared that your fiance will find out...

you chose the above yourself... just be honest with her and yourself ;o)

Soniya ----- I've never seen you annoyed like that before ha ha ha ;o)